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	33.7471	5.72***
α ARCH Response to squared shocks	0.0635	19.98***
β GARCH Volatility persistence	0.9665	198.37***
ν DF Student-t tail thickness	3.9399	6.47***

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India NSE Volatility Index GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other India NSE Volatility Index Analyses