India NSE Volatility Index

CBOE Emerging Market Markets Volatility Index

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.4260	8.76***
α ARCH Response to squared shocks	0.1292	7.95***
β GARCH Volatility persistence	0.8587	113.47***
γ leverage Additional response to negative shocks	-0.0347	-1.41

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G K P Printing & Packaging Asy. MEM Volatility Analysis

Date Range:

News Impact Curve

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