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	1.0000	3.93***
α ARCH Response to squared shocks	0.1224	12.24***
β GARCH Volatility persistence	0.7939	45.80***
γ leverage Additional response to negative shocks	0.1051	2.15**
δ power Transformation power	1.7885	11.32***

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Trident Lifeline Limited APARCH Volatility Analysis

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