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	0.3838	16.67***
α ARCH Response to squared shocks	0.0837	17.41***
β GARCH Volatility persistence	0.8703	227.41***
γ leverage Additional response to negative shocks	0.0272	2.68***

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Seshasayee Paper&B GJR-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other Seshasayee Paper&B Analyses