V-Lab
India NSE Volatility Index GJR-GARCH Volatility Analysis
Volatility prediction for Friday, September 4th, 2026
1 Day
70.70%
decreased by 1.63%
1 Week
73.32%
increased by 0.99%
1 Month
80.11%
increased by 7.78%
Analysis last updated: Friday, September 4, 2026 at 11:27 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Mar 3, 2008 to Aug 27, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 362% more than negative returns. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and uncommon among risky assets.
σ
GJR-GARCH Model
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Inverse leverage: Positive returns increase volatility 362% more than negative returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.9562 | 3.45*** |
| αARCH | 0.1438 | 3.16*** |
| βGARCH | 0.8539 | 34.26*** |
| γleverage | -0.1126 | -2.06** |
0.941
Persistence11d
Half-lifeσ
GJR-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.9562 | 3.45*** |
α ARCH Response to squared shocks | 0.1438 | 3.16*** |
β GARCH Volatility persistence | 0.8539 | 34.26*** |
γ leverage Additional response to negative shocks | -0.1126 | -2.06** |
Persistence:
0.941
Half-life:
11 days
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