India NSE Volatility Index

CBOE Emerging Market Markets Volatility Index

How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.4865	6.96***
α ARCH Response to squared shocks	0.2335	16.81***
β GARCH Volatility persistence	0.7904	51.10***
γ leverage Additional response to negative shocks	-0.0491	-1.62

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RGF Capital Markets Ltd GJR-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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