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	1.3530	1.64
α ARCH Response to squared shocks	0.2903	5.78***
β GARCH Volatility persistence	0.6054	8.83***

γ₁	5.0167	0.21
γ₂	9.7528	0.21
γ₃	-49.3364	-1.09
γ₄	64.3420	1.93*
γ₅	-39.3508	-2.06**
γ₆	6.7117	0.37
γ₇	13.6560	0.95
γ₈	-22.4646	-2.54**
γ₉	11.6387	0.94
γ₁₀	8.0346	0.49

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RGF Capital Markets Ltd Spline-GARCH Volatility Analysis

Date Range:

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