India NSE Volatility Index

CBOE Emerging Market Markets Volatility Index

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9527	27.55***
α ARCH Response to squared shocks	0.2368	30.77***
β GARCH Volatility persistence	0.6614	100.01***
γ leverage Additional response to negative shocks	0.0114	0.88

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Kei Industries Ltd Asy. MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Kei Industries Ltd Analyses