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	2.4101	17.69***
α ARCH Response to squared shocks	0.1057	18.16***
β GARCH Volatility persistence	0.8242	107.22***

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India NSE Volatility Index GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other India NSE Volatility Index Analyses