V-Lab: S&P BSE SENSEX Index MF2-GARCH Volatility Analysis

V-Lab

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V-Lab

S&P BSE SENSEX Index MF2-GARCH Volatility Analysis

Volatility Prediction for Friday, November 22nd, 2024:13.13% (-0.77%)

Analysis last updated: Thursday, November 21, 2024 at 12:14 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	21
$α$	0.0406	9.68
$β$	0.7825	102.17
$γ$	0.1417	20.81
$λ_{1}$	0.0052	3.46
$λ_{2}$	0.0460	6.38
$λ_{3}$	0.9524	126.29

Estimation Period:
Jan 1, 1990 to Nov 14, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts