India NSE Volatility Index

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How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	822.1111	8.02***
α ARCH Response to squared shocks	0.1397	311.05***
β GARCH Volatility persistence	0.9990	7,928.57***
ν DF Student-t tail thickness	2.0001

V-Lab

Madala Holdings Ltd GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Madala Holdings Ltd Analyses