V-Lab
S&P BSE SENSEX Index Asy. Power MEM Volatility Analysis
Volatility prediction for Monday, August 10th, 2026
1 Day
10.53%
decreased by 0.50%
1 Week
10.49%
decreased by 0.54%
1 Month
10.34%
decreased by 0.69%
Analysis last updated: Friday, August 7, 2026 at 12:03 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 31, 1990 to Aug 7, 2026Model Insight
This asset exhibits a modest leverage effect: negative returns increase next-day volatility 18% more than equivalent positive returns. The volatility power δ = 1.01 sits below 2, so large shocks influence volatility less than quadratically, a more outlier-robust response than standard GARCH.
μ
APMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0277 | 27.34*** |
α ARCH Response to squared shocks | 0.2199 | 77.07*** |
β GARCH Volatility persistence | 0.7801 | 264.72*** |
γ leverage Additional response to negative shocks | 0.0812 | 13.47*** |
δ power Transformation power | 1.0086 | 28.84*** |
Persistence:
0.956
Half-life:
15 days
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