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	1.2032	5.59***
α ARCH Response to squared shocks	0.0912	8.94***
β GARCH Volatility persistence	0.8788	72.36***

γ₁	-0.1303	-2.68***
γ₂	0.2535	3.49***
γ₃	-0.2539	-5.14***
γ₄	0.2497	5.15***
γ₅	-0.1992	-4.36***
γ₆	0.0984	2.42**
γ₇	0.0040	0.10
γ₈	-0.0407	-0.89
γ₉	0.0279	0.84

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S&P BSE SENSEX Index Zero Slope Spline-GARCH Volatility Analysis

Date Range:

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Parameter Estimates

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