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	1.3756	8.92***
α ARCH Response to squared shocks	0.1165	3.65***
β GARCH Volatility persistence	0.5889	6.04***

γ₁	0.3125	5.72***
γ₂	-0.5085	-5.54***
γ₃	0.2932	3.48***
γ₄	-0.1169	-2.18**

V-Lab

Gujarat Energy Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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