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	0.5255	9.20***
α ARCH Response to squared shocks	0.1684	40.68***
β GARCH Volatility persistence	0.7820	151.83***
γ leverage Additional response to negative shocks	0.0464	5.68***
δ power Transformation power	1.7034	23.87***

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HBL Engineering Ltd Asy. Power MEM Volatility Analysis

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