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	1.3709	8.89***
α ARCH Response to squared shocks	0.1154	3.65***
β GARCH Volatility persistence	0.5899	6.05***

γ₁	0.3084	5.77***
γ₂	-0.5041	-5.68***
γ₃	0.2955	3.62***
γ₄	-0.1215	-2.34**

V-Lab

Gujarat Energy Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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