V-Lab
India NSE Volatility Index GJR-GARCH Volatility Analysis
Volatility prediction for Friday, September 25th, 2026
1 Day
144.68%
increased by 65.60%
1 Week
139.82%
increased by 60.74%
1 Month
125.42%
increased by 46.34%
Analysis last updated: Friday, September 25, 2026 at 08:56 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Mar 3, 2008 to Sep 24, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 343% 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 343% more than negative returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.9791 | 3.49*** |
| αARCH | 0.1438 | 3.17*** |
| βGARCH | 0.8530 | 34.12*** |
| γleverage | -0.1113 | -2.03** |
0.941
Persistence11d
Half-lifeσ
GJR-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.9791 | 3.49*** |
α ARCH Response to squared shocks | 0.1438 | 3.17*** |
β GARCH Volatility persistence | 0.8530 | 34.12*** |
γ leverage Additional response to negative shocks | -0.1113 | -2.03** |
Persistence:
0.941
Half-life:
11 days
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