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 Monday, December 23rd, 2024:16.19% (+1.54%)

Analysis last updated: Friday, December 20, 2024 at 12:02 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	21
$α$	0.0403	9.64
$β$	0.7832	102.84
$γ$	0.1417	20.88
$λ_{1}$	0.0052	3.48
$λ_{2}$	0.0456	6.40
$λ_{3}$	0.9528	127.89

Estimation Period:
Jan 1, 1990 to Dec 20, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts