India NSE Volatility Index

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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.5665	9.55***
α ARCH Response to squared shocks	0.1449	21.86***
β GARCH Volatility persistence	0.7887	75.39***
γ leverage Additional response to negative shocks	-0.0204	-0.85
δ power Transformation power	1.4176	18.79***

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Him Teknoforge Ltd APARCH Volatility Analysis

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