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	0.0973	12.97***
α ARCH Response to squared shocks	0.1521	18.50***
β GARCH Volatility persistence	0.8551	238.84***
γ leverage Additional response to negative shocks	-0.0143	-1.11

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Kcl Infra Project Ltd GJR-GARCH Volatility Analysis

Date Range:

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Volatility Forecast

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