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	8.1106	12.78***
α ARCH Response to squared shocks	0.1902	98.18***
β GARCH Volatility persistence	0.9990
ν DF Student-t tail thickness	2.0000

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G K P Printing & Packaging GAS-GARCH Student T Volatility Analysis

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News Impact Curve

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