India NSE Volatility Index

CBOE Emerging Market Markets Volatility Index

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

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Parameter	Value	t-statistic
ω const Unconditional variance weight	12.2034	4.88***
α ARCH Response to squared shocks	0.0829	33.87***
β GARCH Volatility persistence	0.9828	270.45***
ν DF Student-t tail thickness	3.8434	15.95***

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Seshasayee Paper&B GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other Seshasayee Paper&B Analyses