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	1.2378	2.45**
α ARCH Response to squared shocks	0.2271	4.18***
β GARCH Volatility persistence	0.8156	27.30***
γ leverage Additional response to negative shocks	-0.1871	-3.14***

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Pngs Reva Diamond Jewellery Ltd Asy. MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Pngs Reva Diamond Jewellery Ltd Analyses