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
ω const Unconditional variance weight	1.8174	3.77***
α ARCH Response to squared shocks	0.1348	5.22***
β GARCH Volatility persistence	0.6643	9.83***

γ₁	0.0880	0.73
γ₂	-0.1136	-0.71
γ₃	0.1947	1.65*
γ₄	-0.4004	-2.91***
γ₅	0.3611	2.78***
γ₆	-0.1468	-1.36
γ₇	-0.0075	-0.08
γ₈	0.0629	0.73
γ₉	-0.0536	-0.83

V-Lab

Kei Industries Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Kei Industries Ltd Analyses