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	1.9685	2.38**
α ARCH Response to squared shocks	0.2258	5.34***
β GARCH Volatility persistence	0.4515	5.10***

γ₁	-0.3463	-0.12
γ₂	1.8845	0.42
γ₃	-3.8062	-1.10
γ₄	5.3219	2.08**
γ₅	-6.9123	-3.22***
γ₆	7.2289	2.75***
γ₇	-5.9445	-1.57
γ₈	5.9186	1.59
γ₉	-6.3559	-2.54**
γ₁₀	4.2579	1.39

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G K P Printing & Packaging Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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