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	0.7262	4.71***
α ARCH Response to squared shocks	0.1219	5.35***
β GARCH Volatility persistence	0.7283	13.04***

γ₁	-0.0975	-0.83
γ₂	0.1087	0.64
γ₃	0.0717	0.66
γ₄	-0.2767	-2.60***
γ₅	0.3374	3.35***
γ₆	-0.1762	-2.53**

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Him Teknoforge Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Him Teknoforge Ltd Analyses