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, March 7th, 2025:13.42% (+0.39%)

Analysis last updated: Thursday, March 6, 2025 at 12:02 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1311	5.29
$α$	0.0936	8.78
$β$	0.8755	69.34
$γ_{1}$	-0.1639	-3.12
$γ_{2}$	0.3093	3.97
$γ_{3}$	-0.2875	-5.42
$γ_{4}$	0.2549	5.04
$γ_{5}$	-0.1743	-3.74
$γ_{6}$	0.0692	1.61
$γ_{7}$	-0.0001	-0.00
$γ_{8}$	0.0017	0.03
$γ_{9}$	-0.0130	-0.41

Estimation Period:
Jan 1, 1990 to Feb 28, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts