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	1.1508	13.29***
α ARCH Response to squared shocks	0.1246	12.16***
β GARCH Volatility persistence	0.5972	33.18***
γ leverage Additional response to negative shocks	-0.1365	-1.53

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Gujarat Energy Ltd AGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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