India NSE Volatility Index

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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	21
α ARCH Response to squared shocks	0.2123	15.87***
β GARCH Volatility persistence	0.5150	15.10***
γ leverage Additional response to negative shocks	-0.0947	-5.23***
λ₁ tau intercept Baseline long-term coefficient	0.5746	0.90
λ₂ forecast adj. Forecast performance sensitivity	0.0747	0.88
λ₃ tau persistence Long-term factor persistence	0.8537	5.59***

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Albert David MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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