India NSE Volatility Index

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How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.6265	16.06***
α ARCH Response to squared shocks	0.1363	13.41***
β GARCH Volatility persistence	0.8107	88.97***
γ leverage Additional response to negative shocks	-0.0399	-2.79***

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Albert David GJR-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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