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	56
α ARCH Response to squared shocks	0.2195	16.95***
β GARCH Volatility persistence	0.6627	27.64***
γ leverage Additional response to negative shocks	0.0226	1.48
λ₁ tau intercept Baseline long-term coefficient	7.2017	0.00
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.00
λ₃ tau persistence Long-term factor persistence	0.2533	0.00

V-Lab

Utl Industries Ltd MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Utl Industries Ltd Analyses