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
m window Rolling window length	31
α ARCH Response to squared shocks	0.2362	16.26***
β GARCH Volatility persistence	0.3531	7.15***
γ leverage Additional response to negative shocks	-0.0881	-3.36***
λ₁ tau intercept Baseline long-term coefficient	2.3638	0.34
λ₂ forecast adj. Forecast performance sensitivity	0.1840	0.31
λ₃ tau persistence Long-term factor persistence	0.5966	0.47

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Tips Music Ltd MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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