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	0.1376	20.37***
β GARCH Volatility persistence	0.5959	34.48***
γ leverage Additional response to negative shocks	0.0368	2.83***
λ₁ tau intercept Baseline long-term coefficient	0.8148	0.99
λ₂ forecast adj. Forecast performance sensitivity	0.1702	1.57
λ₃ tau persistence Long-term factor persistence	0.7409	3.78***

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Kei Industries Ltd MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

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Parameter Estimates

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