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
ω const Unconditional variance weight	1.2190	4.25***
α ARCH Response to squared shocks	0.1625	6.57***
β GARCH Volatility persistence	0.7571	19.11***

γ₁	0.3020	0.74
γ₂	0.0754	0.11
γ₃	-1.1547	-2.03**
γ₄	2.3523	3.92***
γ₅	-3.5791	-5.53***
γ₆	3.4708	5.14***
γ₇	-2.1397	-3.26***
γ₈	0.9526	1.69*
γ₉	-0.3926	-1.06

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Integra Essentia Limited Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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