India NSE Volatility Index

CBOE Emerging Market Markets Volatility Index

How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.3891	7.12***
α ARCH Response to squared shocks	0.2218	9.54***
β GARCH Volatility persistence	0.8668	43.49***
γ leverage Additional response to negative shocks	0.0321	1.68*

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G K P Printing & Packaging EGARCH Volatility Analysis

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