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	1.3735	8.90***
α ARCH Response to squared shocks	0.1167	3.65***
β GARCH Volatility persistence	0.5872	6.02***

γ₁	0.3106	5.75***
γ₂	-0.5065	-5.61***
γ₃	0.2947	3.55***
γ₄	-0.1197	-2.27**

V-Lab

Gujarat Energy Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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