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
m window Rolling window length	61
α ARCH Response to squared shocks	0.0548	4.92***
β GARCH Volatility persistence	0.9676	1,416.71***
γ leverage Additional response to negative shocks	-0.0548	-4.97***
λ₁ tau intercept Baseline long-term coefficient	0.0000	0.25
λ₂ forecast adj. Forecast performance sensitivity	0.0402	4.82***
λ₃ tau persistence Long-term factor persistence	0.0501	7.65***

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True Colors Ltd MF2-GARCH Volatility Analysis

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