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
m window Rolling window length	66
α ARCH Response to squared shocks	0.0342	3.35***
β GARCH Volatility persistence	0.6058	12.97***
γ leverage Additional response to negative shocks	0.0667	5.10***
λ₁ tau intercept Baseline long-term coefficient	1.1204	0.09
λ₂ forecast adj. Forecast performance sensitivity	0.5626	0.09
λ₃ tau persistence Long-term factor persistence	0.1768	0.02

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Gujarat Energy Ltd MF2-GARCH Volatility Analysis

Date Range:

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