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	1.3393	5.40***
α ARCH Response to squared shocks	0.2797	2.91***
β GARCH Volatility persistence	0.6161	5.66***

γ₁	-0.2057	-2.96***
γ₂	0.3486	3.36***
γ₃	-0.2059	-3.14***
γ₄	0.0866	1.81*

V-Lab

IEC Education Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

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