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	21
α ARCH Response to squared shocks	0.0378	9.46***
β GARCH Volatility persistence	0.7858	105.86***
γ leverage Additional response to negative shocks	0.1429	22.10***
λ₁ tau intercept Baseline long-term coefficient	0.0049	3.75***
λ₂ forecast adj. Forecast performance sensitivity	0.0477	6.46***
λ₃ tau persistence Long-term factor persistence	0.9508	124.11***

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S&P BSE SENSEX Index MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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