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
m window Rolling window length	66
α ARCH Response to squared shocks	0.0343	3.31***
β GARCH Volatility persistence	0.6032	12.74***
γ leverage Additional response to negative shocks	0.0668	5.06***
λ₁ tau intercept Baseline long-term coefficient	1.1277	0.08
λ₂ forecast adj. Forecast performance sensitivity	0.5806	0.08
λ₃ tau persistence Long-term factor persistence	0.1595	0.02

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Gujarat Energy Ltd MF2-GARCH Volatility Analysis

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