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	14.7622	3.31***
α ARCH Response to squared shocks	0.2022	2.11**
β GARCH Volatility persistence	0.5476	5.57***
ν DF Student-t tail thickness	3.2997	1.58

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Pngs Reva Diamond Jewellery Ltd GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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