India NSE Volatility Index GJR-GARCH Volatility Analysis
Volatility prediction for Friday, October 16th, 2026
1 Day
100.15%
decreased by 4.73%
1 Week
99.26%
decreased by 5.62%
1 Month
96.78%
decreased by 8.10%
Analysis last updated: Friday, October 16, 2026 at 11:49 PM UTC
Press Delete or Backspace to remove this series.
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Mar 3, 2008 to Oct 8, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 339% 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
Tap to view equation
Inverse leverage: Positive returns increase volatility 339% more than negative returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.9720 | 3.50*** |
| αARCH | 0.1426 | 3.19*** |
| βGARCH | 0.8536 | 34.30*** |
| γleverage | -0.1101 | -2.03** |
0.941
Persistence11d
Half-lifeσ
GJR-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.9720 | 3.50*** |
α ARCH Response to squared shocks | 0.1426 | 3.19*** |
β GARCH Volatility persistence | 0.8536 | 34.30*** |
γ leverage Additional response to negative shocks | -0.1101 | -2.03** |
Persistence:
0.941
Half-life:
11 days
Other India NSE Volatility Index Analyses
Other GJR-GARCH Analyses on Volatility Indices