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	0.9122	7.93***
α ARCH Response to squared shocks	0.2096	6.66***
β GARCH Volatility persistence	0.4728	6.97***

γ₁	-0.4422	-3.88***
γ₂	0.6204	3.85***
γ₃	-0.0967	-0.84
γ₄	-0.2392	-1.65*
γ₅	0.2392	1.44
γ₆	-0.0731	-0.45
γ₇	-0.0247	-0.14
γ₈	-0.0718	-0.27
γ₉	0.1704	0.76

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Tips Music Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Tips Music Ltd Analyses