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	1.0091	16.47***
α ARCH Response to squared shocks	0.3157	30.56***
β GARCH Volatility persistence	0.6735	80.16***
γ leverage Additional response to negative shocks	-0.3962	-2.28**

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RGF Capital Markets Ltd AGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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