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	1.3564	1.63
α ARCH Response to squared shocks	0.2899	5.88***
β GARCH Volatility persistence	0.6080	9.16***

γ₁	5.1027	0.21
γ₂	9.4114	0.20
γ₃	-48.7331	-1.08
γ₄	63.4985	1.90*
γ₅	-38.2468	-1.99**
γ₆	5.4501	0.29
γ₇	15.1049	1.05
γ₈	-24.5845	-2.93***
γ₉	15.5342	1.52
γ₁₀	-0.1591	-0.02

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RGF Capital Markets Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

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Parameter Estimates

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