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	21
α ARCH Response to squared shocks	0.2064	25.21***
β GARCH Volatility persistence	0.4547	6.07***
γ leverage Additional response to negative shocks	-0.0834	-10.43***
λ₁ tau intercept Baseline long-term coefficient	5.3809	0.48
λ₂ forecast adj. Forecast performance sensitivity	0.3012	0.29
λ₃ tau persistence Long-term factor persistence	0.1111	0.05

V-Lab

Madala Holdings Ltd MF2-GARCH Volatility Analysis

Date Range:

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