India NSE Volatility Index

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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	3.1830	6.01***
α ARCH Response to squared shocks	0.7138	3.97***
β GARCH Volatility persistence	0.3684	6.05***
γ leverage Additional response to negative shocks	-0.5008	-2.25**

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Bai-Kakaji Polymers Ltd GJR-GARCH Volatility Analysis

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