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
m window Rolling window length	56
α ARCH Response to squared shocks	0.1293	28.47***
β GARCH Volatility persistence	0.7631	101.51***
γ leverage Additional response to negative shocks	-0.0130	-1.33
λ₁ tau intercept Baseline long-term coefficient	0.0028	1.54
λ₂ forecast adj. Forecast performance sensitivity	0.0040	2.54**
λ₃ tau persistence Long-term factor persistence	0.9955	524.21***

V-Lab

Linde India Ltd MF2-GARCH Volatility Analysis

Date Range:

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