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 Friday, May 22nd, 2026
1 Day
16.28%
decreased by 0.64%
1 Week
16.50%
decreased by 0.42%
1 Month
17.35%
increased by 0.43%
Analysis last updated: Friday, May 22, 2026 at 02:12 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
| param | t-stat | |
|---|---|---|
| 0.0142 | 16.98 | |
| 0.0653 | 19.06 | |
| 0.9104 | 436.23 | |
| 0.0486 | 7.81 |
Estimation Period:
Jan 1, 1990 to May 15, 2026
Jan 1, 1990 to May 15, 2026
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