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	0.1057	3.71***
α ARCH Response to squared shocks	0.2075	9.03***
β GARCH Volatility persistence	0.9624	82.01***
γ leverage Additional response to negative shocks	-0.0621	-5.28***

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RGF Capital Markets Ltd EGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other RGF Capital Markets Ltd Analyses