India NSE Volatility Index

CBOE Emerging Market Markets Volatility Index

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.5112	3.13***
α ARCH Response to squared shocks	0.1477	1.44
β GARCH Volatility persistence	0.0000	0.00

γ₁	161.0241	1.28
γ₂	-300.4742	-1.47
γ₃	314.7589	2.17**
γ₄	-253.5217	-2.77***

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Pngs Reva Diamond Jewellery Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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