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	3.9281	5.10***
α ARCH Response to squared shocks	0.0874	4.40***
β GARCH Volatility persistence	0.6281	11.01***
γ leverage Additional response to negative shocks	0.0666	0.91

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Apex Ecotech Limited GJR-GARCH Volatility Analysis

Date Range:

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