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	3.0286	18.13***
α ARCH Response to squared shocks	0.2435	14.55***
β GARCH Volatility persistence	0.5205	35.13***
γ leverage Additional response to negative shocks	-0.0402	-1.63

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Tips Music Ltd GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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