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, September 23rd, 2024:10.97% (-0.30%)

Analysis last updated: Friday, September 20, 2024 at 12:04 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	21
$α$	0.0405	9.65
$β$	0.7828	102.44
$γ$	0.1425	20.86
$λ_{1}$	0.0052	3.45
$λ_{2}$	0.0469	6.37
$λ_{3}$	0.9516	123.90

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts