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	71
α ARCH Response to squared shocks	0.6671	96.10***
β GARCH Volatility persistence	0.4876	164.67***
γ leverage Additional response to negative shocks	-0.5000	-35.77***
λ₁ tau intercept Baseline long-term coefficient	0.0000	0.00
λ₂ forecast adj. Forecast performance sensitivity	0.0685	0.38
λ₃ tau persistence Long-term factor persistence	0.0000	0.27

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