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	0.1031	19.57***
α ARCH Response to squared shocks	0.1944	38.59***
β GARCH Volatility persistence	0.9617	487.19***
γ leverage Additional response to negative shocks	0.0015	0.35

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Seshasayee Paper&B EGARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other Seshasayee Paper&B Analyses