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	5.0000	7.70***
α ARCH Response to squared shocks	0.0933	2.00**
β GARCH Volatility persistence	0.1912	2.23**
γ leverage Additional response to negative shocks	0.0756	0.88

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Pngs Reva Diamond Jewellery Ltd GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Pngs Reva Diamond Jewellery Ltd Analyses