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
m window Rolling window length	26
α ARCH Response to squared shocks	0.1812	21.74***
β GARCH Volatility persistence	0.7028	52.09***
γ leverage Additional response to negative shocks	-0.1434	-15.14***
λ₁ tau intercept Baseline long-term coefficient	0.1106	1.24
λ₂ forecast adj. Forecast performance sensitivity	0.0040	1.59
λ₃ tau persistence Long-term factor persistence	0.9918	184.39***

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India NSE Volatility Index MF2-GARCH Volatility Analysis

Date Range:

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