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	3.1657	7.16***
α ARCH Response to squared shocks	0.0742	57.86***
β GARCH Volatility persistence	0.9953	1,727.99***
ν DF Student-t tail thickness	6.5143	13.79***

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S&P BSE SENSEX Index GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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