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	1.9709	2.41**
α ARCH Response to squared shocks	0.2246	5.34***
β GARCH Volatility persistence	0.4382	4.79***

γ₁	-0.3079	-0.11
γ₂	1.7960	0.42
γ₃	-3.6432	-1.10
γ₄	5.0447	2.06**
γ₅	-6.6073	-3.31***
γ₆	6.9697	2.95***
γ₇	-5.6114	-1.60
γ₈	5.4589	1.50
γ₉	-6.0686	-2.73***
γ₁₀	4.1286	3.84***

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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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