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	0.6956	3.22***
α ARCH Response to squared shocks	0.1072	8.18***
β GARCH Volatility persistence	0.6944	22.64***
γ leverage Additional response to negative shocks	0.1157	4.98***
δ power Transformation power	1.6743	6.54***

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Gujarat Energy Ltd APARCH Volatility Analysis

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