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	13.2931	5.63***
α ARCH Response to squared shocks	0.0989	20.02***
β GARCH Volatility persistence	0.9472	102.78***
ν DF Student-t tail thickness	3.2985	11.13***

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Datamatics Global Services GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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