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	12.9631	0.25
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.9990	0.47
ν DF Student-t tail thickness	3.5851	0.27

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Bai-Kakaji Polymers Ltd GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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