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	27.7109	2.86***
α ARCH Response to squared shocks	0.2595	10.80***
β GARCH Volatility persistence	0.9732	103.25***
ν DF Student-t tail thickness	9.3753	2.98***

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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