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	1.3996	0.15
α ARCH Response to squared shocks	0.0757	0.07
β GARCH Volatility persistence	0.9243	0.83

γ₁	8.2857	0.10
γ₂	-19.5839	-0.18
γ₃	24.2707	0.39
γ₄	-20.4491	-0.29
γ₅	9.6114	0.19
γ₆	-3.3200	-0.11
γ₇	1.8592	0.17
γ₈	-0.8400	-0.33
γ₉	0.1049	0.05

V-Lab

Natura Hue Chem Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Natura Hue Chem Ltd Analyses