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
ω const Unconditional variance weight	5.1697	0.02
α ARCH Response to squared shocks	0.0977	0.00
β GARCH Volatility persistence	0.9023	0.03

γ₁	-2.7454	0.00
γ₂	7.4263	0.00
γ₃	-6.5955	-0.01
γ₄	9.5553	0.00
γ₅	-28.3640	-0.01
γ₆	51.7466	0.02
γ₇	-64.7675	-0.02
γ₈	53.4792	0.02
γ₉	-22.8734	-0.04

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Virgo Global Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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