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	1.6965	4.93***
α ARCH Response to squared shocks	0.2026	5.55***
β GARCH Volatility persistence	0.5553	7.45***

γ₁	1.1311	3.45***
γ₂	-1.7396	-3.46***
γ₃	1.1653	3.29***
γ₄	-0.9586	-3.19***
γ₅	0.4406	1.27
γ₆	0.2032	0.59
γ₇	-0.8480	-3.35***
γ₈	1.0428	6.74***

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Mep Infrastructure Dev Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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