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	1.9779	2.39**
α ARCH Response to squared shocks	0.2261	5.32***
β GARCH Volatility persistence	0.4472	5.00***

γ₁	-0.2766	-0.10
γ₂	1.7695	0.40
γ₃	-3.7032	-1.08
γ₄	5.1870	2.04**
γ₅	-6.7512	-3.15***
γ₆	7.0670	2.70***
γ₇	-5.8042	-1.55
γ₈	5.8004	1.60
γ₉	-6.2176	-2.89***
γ₁₀	3.9885	3.66***

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G K P Printing & Packaging Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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