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	4.57***
α ARCH Response to squared shocks	0.2468	1.94*
β GARCH Volatility persistence	0.4680	5.24***
γ leverage Additional response to negative shocks	-0.1619	-1.11

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