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	0.9833	8.50***
α ARCH Response to squared shocks	0.0830	6.16***
β GARCH Volatility persistence	0.6532	26.97***
γ leverage Additional response to negative shocks	0.0557	2.23**

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Gujarat Energy Ltd GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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