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	106
α ARCH Response to squared shocks	0.1382	20.27***
β GARCH Volatility persistence	0.5902	33.65***
γ leverage Additional response to negative shocks	0.0364	2.78***
λ₁ tau intercept Baseline long-term coefficient	0.8432	0.95
λ₂ forecast adj. Forecast performance sensitivity	0.1712	1.48
λ₃ tau persistence Long-term factor persistence	0.7371	3.52***

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Kei Industries Ltd MF2-GARCH Volatility Analysis

Date Range:

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