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	0.0756	7.27***
α ARCH Response to squared shocks	0.2614	17.24***
β GARCH Volatility persistence	0.9786	269.14***
γ leverage Additional response to negative shocks	0.0304	4.35***

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