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	0.5740	9.15***
α ARCH Response to squared shocks	0.1131	5.88***
β GARCH Volatility persistence	0.8637	97.75***
γ leverage Additional response to negative shocks	-0.0319	-0.95

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G K P Printing & Packaging GJR-GARCH Volatility Analysis

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