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	91
α ARCH Response to squared shocks	0.1324	1.31
β GARCH Volatility persistence	0.6430	11.33***
γ leverage Additional response to negative shocks	0.0981	0.43
λ₁ tau intercept Baseline long-term coefficient	0.0094	0.06
λ₂ forecast adj. Forecast performance sensitivity	0.5491	1.64
λ₃ tau persistence Long-term factor persistence	0.4509	1.70*

V-Lab

Natura Hue Chem Ltd MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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