India NSE Volatility Index

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How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

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Parameter	Value	t-statistic
ω const Unconditional variance weight	4.4719	6.38***
α ARCH Response to squared shocks	0.1124	11.59***
β GARCH Volatility persistence	0.9201	72.04***
ν DF Student-t tail thickness	4.0636	5.20***

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Gujarat Energy Ltd GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other Gujarat Energy Ltd Analyses