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	1.0489	5.44***
α ARCH Response to squared shocks	0.1128	5.05***
β GARCH Volatility persistence	0.6295	9.67***

γ₁	-0.2422	-1.94*
γ₂	0.4779	2.74***
γ₃	-0.4294	-4.98***
γ₄	0.3116	4.36***
γ₅	-0.1430	-2.37**
γ₆	-0.0115	-0.24
γ₇	0.0635	1.70*

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HBL Engineering Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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