India NSE Volatility Index

CBOE Emerging Market Markets Volatility Index

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	46
α ARCH Response to squared shocks	0.0734	11.64***
β GARCH Volatility persistence	0.8979	126.25***
γ leverage Additional response to negative shocks	0.0390	7.65***
λ₁ tau intercept Baseline long-term coefficient	8.5962	0.23
λ₂ forecast adj. Forecast performance sensitivity	0.1365	0.24
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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Integra Essentia Limited MF2-GARCH Volatility Analysis

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