V-Lab: BSE 100 Index MF2-GARCH Volatility Analysis

V-Lab

| |

V-Lab

BSE 100 Index MF2-GARCH Volatility Analysis

Volatility Prediction for Friday, April 26th, 2024:11.06% (-0.29%)

Analysis last updated: Saturday, April 27, 2024 at 05:20 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	21
$α$	0.0303	10.23
$β$	0.7738	88.00
$γ$	0.1540	21.00
$λ_{1}$	0.0104	3.44
$λ_{2}$	0.0733	4.51
$λ_{3}$	0.9238	55.52

Estimation Period:
Jan 2, 1990 to Apr 10, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts