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	1.4956	14.58***
α ARCH Response to squared shocks	0.0903	6.85***
β GARCH Volatility persistence	0.8491	32.57***

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Seshasayee Paper&B Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Seshasayee Paper&B Analyses