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	0.1384	20.13***
β GARCH Volatility persistence	0.5859	33.05***
γ leverage Additional response to negative shocks	0.0376	2.86***
λ₁ tau intercept Baseline long-term coefficient	0.8399	0.95
λ₂ forecast adj. Forecast performance sensitivity	0.1723	1.48
λ₃ tau persistence Long-term factor persistence	0.7361	3.49***

V-Lab

Kei Industries Ltd MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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