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	1.2017	5.59***
α ARCH Response to squared shocks	0.0912	8.94***
β GARCH Volatility persistence	0.8786	72.08***

γ₁	-0.1288	-2.66***
γ₂	0.2506	3.46***
γ₃	-0.2514	-5.12***
γ₄	0.2485	5.15***
γ₅	-0.1998	-4.40***
γ₆	0.0997	2.47**
γ₇	0.0042	0.10
γ₈	-0.0433	-0.96
γ₉	0.0308	0.93

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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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