India NSE Volatility Index

CBOE Emerging Market Markets Volatility Index

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

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Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.2940	36.62***
β GARCH Volatility persistence	0.2601	13.24***
γ leverage Additional response to negative shocks	0.0335	1.06
λ₁ tau intercept Baseline long-term coefficient	2.2991	1.47
λ₂ forecast adj. Forecast performance sensitivity	0.8081	2.01**
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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IEC Education Ltd MF2-GARCH Volatility Analysis

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