V-Lab: India Volatility Index Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

India Volatility Index Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, November 23rd, 2021:113.26% (+39.10%)

Analysis last updated: Monday, November 22, 2021 at 09:51 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	2.0761	6.15
$α$	0.1098	4.36
$β$	0.7179	13.80
$γ_{1}$	0.1609	2.35
$γ_{2}$	-0.1187	-1.14
$γ_{3}$	-0.1171	-1.34
$γ_{4}$	0.1592	2.11
$γ_{5}$	-0.1224	-2.55

Estimation Period:
Mar 3, 2008 to Nov 12, 2021

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts