V-Lab: S&P BSE SENSEX Index Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

S&P BSE SENSEX Index Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, November 22nd, 2024:12.49% (-0.44%)

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
$ω$	1.1226	5.22
$α$	0.0945	8.80
$β$	0.8750	69.30
$γ_{1}$	-0.1709	-3.18
$γ_{2}$	0.3205	4.02
$γ_{3}$	-0.2926	-5.39
$γ_{4}$	0.2520	4.90
$γ_{5}$	-0.1640	-3.47
$γ_{6}$	0.0588	1.34
$γ_{7}$	0.0023	0.05
$γ_{8}$	0.0063	0.13
$γ_{9}$	-0.0173	-0.58

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts