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	66
α ARCH Response to squared shocks	0.1560	17.45***
β GARCH Volatility persistence	0.6206	37.73***
γ leverage Additional response to negative shocks	0.0549	5.11***
λ₁ tau intercept Baseline long-term coefficient	0.0102	0.85
λ₂ forecast adj. Forecast performance sensitivity	0.0599	4.02***
λ₃ tau persistence Long-term factor persistence	0.9398	63.44***

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Mep Infrastructure Dev Ltd MF2-GARCH Volatility Analysis

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