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
m window Rolling window length	36
α ARCH Response to squared shocks	0.1553	1.54
β GARCH Volatility persistence	0.7073	6.40***
γ leverage Additional response to negative shocks	0.0076	0.06
λ₁ tau intercept Baseline long-term coefficient	0.0028	0.04
λ₂ forecast adj. Forecast performance sensitivity	1.0000	0.05
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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