India NSE Volatility Index

CBOE Emerging Market Markets Volatility Index

How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0048	11.39***
α ARCH Response to squared shocks	0.2151	666.04***
β GARCH Volatility persistence	0.9990
ν DF Student-t tail thickness	2.0000

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Prism Medico & Pharmacy Ltd GAS-GARCH Student T Volatility Analysis

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