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	1.2107	5.50***
α ARCH Response to squared shocks	0.1746	7.57***
β GARCH Volatility persistence	0.7533	18.55***

γ₁	-0.1657	-1.33
γ₂	0.3907	2.02**
γ₃	-0.2920	-1.77*
γ₄	-0.3828	-2.08**
γ₅	1.2311	6.21***
γ₆	-1.2348	-5.39***
γ₇	0.5346	2.43**
γ₈	-0.0838	-0.58

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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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