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	1.3491	9.41***
α ARCH Response to squared shocks	0.3043	12.67***
β GARCH Volatility persistence	0.6824	43.62***
γ leverage Additional response to negative shocks	-0.0634	-2.00**

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RGF Capital Markets Ltd Asy. MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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