India NSE Volatility Index

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How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	31
α ARCH Response to squared shocks	0.0074	0.86
β GARCH Volatility persistence	0.7119	6.44***
γ leverage Additional response to negative shocks	0.0772	4.33***
λ₁ tau intercept Baseline long-term coefficient	3.3007	0.06
λ₂ forecast adj. Forecast performance sensitivity	0.4713	0.06
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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Aster DM Quality Care Ltd MF2-GARCH Volatility Analysis

Date Range:

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