India NSE Volatility Index

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How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	121
α ARCH Response to squared shocks	0.1202	23.10***
β GARCH Volatility persistence	0.7448	58.93***
γ leverage Additional response to negative shocks	0.0105	0.97
λ₁ tau intercept Baseline long-term coefficient	0.0820	1.25
λ₂ forecast adj. Forecast performance sensitivity	0.0107	1.59
λ₃ tau persistence Long-term factor persistence	0.9824	82.60***

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Him Teknoforge Ltd MF2-GARCH Volatility Analysis

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