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	46
α ARCH Response to squared shocks	0.0147	0.20
β GARCH Volatility persistence	0.0000	0.00
γ leverage Additional response to negative shocks	0.0315	0.23
λ₁ tau intercept Baseline long-term coefficient	0.0000	0.00
λ₂ forecast adj. Forecast performance sensitivity	0.0650	0.27
λ₃ tau persistence Long-term factor persistence	0.7465	1.61

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