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	0.2133	0.02
α ARCH Response to squared shocks	0.3508	0.01
β GARCH Volatility persistence	0.6492	0.02

γ₁	-12.8092	-0.04
γ₂	23.7163	0.03
γ₃	-15.9601	-0.02
γ₄	5.6172	0.01
γ₅	-1.0906	0.00
γ₆	1.1783	0.01
γ₇	-1.1567	-0.02
γ₈	0.6821	0.03

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Prism Medico & Pharmacy Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

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