India NSE Volatility Index

CBOE Emerging Market Markets Volatility Index

How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0000	4.31***
α ARCH Response to squared shocks	0.1410	25.98***
β GARCH Volatility persistence	0.7574	46.66***
γ leverage Additional response to negative shocks	-0.0576	-4.10***
δ power Transformation power	1.9480	16.89***

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Madala Holdings Ltd APARCH Volatility Analysis

Date Range:

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