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	1.6590	1.70*
α ARCH Response to squared shocks	0.3333	5.21***
β GARCH Volatility persistence	0.6429	9.69***

γ₁	-7.0554	-0.34
γ₂	27.5556	0.65
γ₃	-86.6085	-1.38
γ₄	158.7589	1.91*
γ₅	-145.6610	-2.27**
γ₆	71.8526	3.06***
γ₇	-32.1708	-3.07***
γ₈	16.3142	1.14
γ₉	-1.1840	-0.09

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RGF Capital Markets Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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