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	26.7657	2.90***
α ARCH Response to squared shocks	0.2587	10.86***
β GARCH Volatility persistence	0.9720	99.45***
ν DF Student-t tail thickness	9.1919	3.05***

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RGF Capital Markets Ltd GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other RGF Capital Markets Ltd Analyses