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	15.8402	6.99***
α ARCH Response to squared shocks	0.1602	4.63***
β GARCH Volatility persistence	0.7595	12.76***
ν DF Student-t tail thickness	5.4366	1.65*

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Apex Ecotech Limited GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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