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

V-Lab

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V-Lab

India Volatility Index Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, November 23rd, 2021:107.22% (+42.40%)

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
$ω$	2.0645	6.20
$α$	0.1092	4.37
$β$	0.7123	13.20
$γ_{1}$	0.1564	2.30
$γ_{2}$	-0.1084	-1.04
$γ_{3}$	-0.1362	-1.54
$γ_{4}$	0.2052	2.38
$γ_{5}$	-0.2482	-2.22

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts