S&P BSE SENSEX Index GJR-GARCH Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Monday, June 15th, 2026
1 Day
15.87%
increased by 2.48%
1 Week
16.09%
increased by 2.70%
1 Month
16.95%
increased by 3.56%
Analysis last updated: Friday, June 12, 2026 at 12:03 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
| param | t-stat | |
|---|---|---|
| 0.0143 | 17.04 | |
| 0.0653 | 19.07 | |
| 0.9104 | 436.63 | |
| 0.0485 | 7.79 |
Estimation Period:
Jan 1, 1990 to Jun 12, 2026
Jan 1, 1990 to Jun 12, 2026
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