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	0.6501	7.45***
α ARCH Response to squared shocks	0.1380	19.49***
β GARCH Volatility persistence	0.7927	93.25***
γ leverage Additional response to negative shocks	0.0287	2.28**

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Aqylon Nexus Ltd GJR-GARCH Volatility Analysis

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