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	21
α ARCH Response to squared shocks	0.0474	11.93***
β GARCH Volatility persistence	0.7685	110.72***
γ leverage Additional response to negative shocks	0.1608	27.33***
λ₁ tau intercept Baseline long-term coefficient	0.0055	5.10***
λ₂ forecast adj. Forecast performance sensitivity	0.0476	7.99***
λ₃ tau persistence Long-term factor persistence	0.9505	152.59***

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National Stock Exchange CNX Nifty Index MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

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Parameter Estimates

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