India NSE Volatility Index

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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.6929	16.91***
α ARCH Response to squared shocks	0.0817	16.35***
β GARCH Volatility persistence	0.8492	132.75***
γ leverage Additional response to negative shocks	0.0230	2.33**

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Datamatics Global Services GJR-GARCH Volatility Analysis

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