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	0.2769	20.27***
α ARCH Response to squared shocks	0.0878	17.41***
β GARCH Volatility persistence	0.8881	243.99***
γ leverage Additional response to negative shocks	-0.0095	-1.08

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Royal Orchid Hotels Ltd GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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