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
m window Rolling window length	126
α ARCH Response to squared shocks	0.1040	25.77***
β GARCH Volatility persistence	0.8304	125.36***
γ leverage Additional response to negative shocks	-0.0178	-2.76***
λ₁ tau intercept Baseline long-term coefficient	0.0338	3.28***
λ₂ forecast adj. Forecast performance sensitivity	0.0284	6.63***
λ₃ tau persistence Long-term factor persistence	0.9683	179.96***

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Royal Orchid Hotels Ltd MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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