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	36
α ARCH Response to squared shocks	0.0816	7.95***
β GARCH Volatility persistence	0.7445	32.27***
γ leverage Additional response to negative shocks	0.0504	2.58***
λ₁ tau intercept Baseline long-term coefficient	0.0000	0.00
λ₂ forecast adj. Forecast performance sensitivity	0.0099	1.36
λ₃ tau persistence Long-term factor persistence	0.9886	84.38***

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Trident Lifeline Limited MF2-GARCH Volatility Analysis

Date Range:

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