V-Lab
S&P BSE SENSEX Index Asy. Power MEM Volatility Analysis
Volatility prediction for Monday, October 5th, 2026
1 Day
17.05%
1 Week
16.45%
1 Month
14.67%
Analysis last updated: Thursday, October 1, 2026 at 12:05 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 31, 1990 to Oct 1, 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 = 1.00 sits below 2, so large shocks influence volatility less than quadratically, a more outlier-robust response than standard GARCH.
APMEM Model
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| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0276 | 6.87*** |
| αARCH | 0.2196 | 19.28*** |
| βGARCH | 0.7804 | 66.36*** |
| γleverage | 0.0806 | 3.36*** |
| δpower | 1.0039 | 7.17*** |
0.956
Persistence15d
Half-lifeAPMEM Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0276 | 6.87*** |
α ARCH Response to squared shocks | 0.2196 | 19.28*** |
β GARCH Volatility persistence | 0.7804 | 66.36*** |
γ leverage Additional response to negative shocks | 0.0806 | 3.36*** |
δ power Transformation power | 1.0039 | 7.17*** |
Persistence:
0.956
Half-life:
15 days
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