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, April 26th, 2024:11.26% (-0.42%)

Analysis last updated: Thursday, April 25, 2024 at 12:02 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0962	5.02
$α$	0.0915	9.01
$β$	0.8806	74.73
$γ_{1}$	-0.1857	-3.25
$γ_{2}$	0.3430	4.06
$γ_{3}$	-0.3006	-5.19
$γ_{4}$	0.2425	4.48
$γ_{5}$	-0.1393	-2.81
$γ_{6}$	0.0343	0.74
$γ_{7}$	0.0125	0.25
$γ_{8}$	0.0054	0.12
$γ_{9}$	-0.0147	-0.55

Estimation Period:
Jan 1, 1990 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts