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	0.8517	5.81***
α ARCH Response to squared shocks	0.0672	4.75***
β GARCH Volatility persistence	0.7728	33.86***
γ leverage Additional response to negative shocks	0.1271	1.99**

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Concord Biotech Limited GJR-GARCH Volatility Analysis

Date Range:

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