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

V-Lab

India NSE Volatility Index Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, May 16th, 2025:90.35% (-10.44%)

Analysis last updated: Saturday, May 17, 2025 at 12:20 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	2.1131	5.87
$α$	0.1520	4.46
$β$	0.5767	9.25
$γ_{1}$	0.0517	0.74
$γ_{2}$	0.0560	0.49
$γ_{3}$	-0.2256	-2.03
$γ_{4}$	0.2482	2.49
$γ_{5}$	-0.2523	-3.45
$γ_{6}$	0.2456	2.88

Estimation Period:
Mar 3, 2008 to Apr 4, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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