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, March 27th, 2023:12.93% (+0.25%)

Analysis last updated: Friday, March 24, 2023, 12:34 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	21
$α$	0.0262	8.11
$β$	0.8018	109.41
$γ$	0.1464	20.83
$λ_{1}$	0.0058	3.05
$λ_{2}$	0.0543	5.50
$λ_{3}$	0.9446	94.35

Estimation Period:
Jan 1, 1990 to Mar 24, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts