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	3.4808	6.54***
α ARCH Response to squared shocks	0.1325	6.53***
β GARCH Volatility persistence	0.7828	28.20***

γ₁	0.1098	6.70***
γ₂	-0.1494	-6.15***
γ₃	0.0757	4.04***
γ₄	-0.0708	-3.54***
γ₅	0.0678	3.41***
γ₆	-0.0581	-3.35***
γ₇	0.0375	2.96***

V-Lab

Reliance Industries Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Reliance Industries Ltd Analyses