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	1.6801	13.27***
α ARCH Response to squared shocks	0.1324	12.30***
β GARCH Volatility persistence	0.8664	142.69***
γ leverage Additional response to negative shocks	-0.1003	-8.02***

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India NSE Volatility Index GJR-GARCH Volatility Analysis

Date Range:

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