V-Lab: S&P BSE SENSEX Index Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

S&P BSE SENSEX Index Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:10.39% (-0.08%)

Analysis last updated: Friday, April 19, 2024 at 12:03 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0524	5.03
$α$	0.0915	8.90
$β$	0.8777	70.84
$γ_{1}$	-0.1964	-3.56
$γ_{2}$	0.3614	4.45
$γ_{3}$	-0.3152	-5.71
$γ_{4}$	0.2567	4.98
$γ_{5}$	-0.1539	-3.25
$γ_{6}$	0.0505	1.14
$γ_{7}$	-0.0123	-0.26
$γ_{8}$	0.0663	1.42
$γ_{9}$	-0.1939	-2.83

Estimation Period:
Jan 1, 1990 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts