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	1.8503	3.83***
α ARCH Response to squared shocks	0.1485	5.22***
β GARCH Volatility persistence	0.6058	8.71***

γ₁	0.1084	0.93
γ₂	-0.1483	-0.96
γ₃	0.2192	1.95*
γ₄	-0.4151	-3.16***
γ₅	0.3655	2.95***
γ₆	-0.1367	-1.31
γ₇	-0.0478	-0.48
γ₈	0.1669	1.29
γ₉	-0.3247	-1.20

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Kei Industries Ltd Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Kei Industries Ltd Analyses