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 Thursday, October 5th, 2023:10.64% (-0.03%)

Analysis last updated: Wednesday, October 4, 2023 at 12:32 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	21
$α$	0.0268	8.45
$β$	0.8040	111.30
$γ$	0.1440	20.97
$λ_{1}$	0.0047	2.84
$λ_{2}$	0.0526	5.69
$λ_{3}$	0.9467	101.42

Estimation Period:
Jan 1, 1990 to Sep 29, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts