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	11.8783	6.34***
α ARCH Response to squared shocks	0.0865	79.17***
β GARCH Volatility persistence	0.9989	5,096.19***
ν DF Student-t tail thickness	7.5937	13.01***

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National Stock Exchange CNX Nifty Index GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

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Parameter Estimates

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