India NSE Volatility Index

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How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	51
α ARCH Response to squared shocks	0.2630	14.52***
β GARCH Volatility persistence	0.3737	17.34***
γ leverage Additional response to negative shocks	-0.0397	-1.32
λ₁ tau intercept Baseline long-term coefficient	5.3056	0.65
λ₂ forecast adj. Forecast performance sensitivity	0.4651	0.74
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

Airan Limited MF2-GARCH Volatility Analysis

Date Range:

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