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	4.03***
α ARCH Response to squared shocks	0.2300	1.81*
β GARCH Volatility persistence	0.5062	5.33***
γ leverage Additional response to negative shocks	-0.1627	-1.13

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