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	1.2112	5.47***
α ARCH Response to squared shocks	0.1746	7.66***
β GARCH Volatility persistence	0.7545	18.90***

γ₁	-0.1649	-1.33
γ₂	0.3931	2.02**
γ₃	-0.3061	-1.82*
γ₄	-0.3572	-1.89*
γ₅	1.2177	6.10***
γ₆	-1.2658	-5.73***
γ₇	0.6092	2.85***
γ₈	-0.1526	-1.06

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Kcl Infra Project Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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