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	11.3731	9.64***
α ARCH Response to squared shocks	0.1385	19.00***
β GARCH Volatility persistence	0.9073	90.33***
ν DF Student-t tail thickness	3.8769	9.97***

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Diana Tea Co Ltd GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other Diana Tea Co Ltd Analyses