S&P BSE SENSEX Index Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Monday, October 26th, 2026
1 Day
14.51%
decreased by 0.74%
1 Week
14.45%
decreased by 0.80%
1 Month
14.24%
decreased by 1.01%
Analysis last updated: Friday, October 23, 2026 at 12:03 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 1990 to Oct 23, 2026Model Insight
This model fits a time-varying baseline (a spline), so volatility mean-reverts toward a slowly-shifting long-run level rather than a constant. Short-run deviations decay with a half-life of 22 trading days.
τ
Zero Slope Spline-GARCH Model
Tap to view equation
Time-varying baseline: volatility reverts to a slowly-shifting spline trend
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.1539 | 5.41*** |
| αARCH | 0.0903 | 8.93*** |
| βGARCH | 0.8791 | 72.14*** |
Spline Coefficients
K=9
| γ1 | -0.1323 | -2.75*** |
| γ2 | 0.2528 | 3.53*** |
| γ3 | -0.2488 | -5.17*** |
| γ4 | 0.2473 | 5.21*** |
| γ5 | -0.2015 | -4.50*** |
| γ6 | 0.1030 | 2.58*** |
| γ7 | 0.0038 | 0.10 |
| γ8 | -0.0480 | -1.12 |
| γ9 | 0.0361 | 1.13 |
0.969
Persistence22d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.1539 | 5.41*** |
α ARCH Response to squared shocks | 0.0903 | 8.93*** |
β GARCH Volatility persistence | 0.8791 | 72.14*** |
Spline Coefficients
K=9
| γ1 | -0.1323 | -2.75*** |
| γ2 | 0.2528 | 3.53*** |
| γ3 | -0.2488 | -5.17*** |
| γ4 | 0.2473 | 5.21*** |
| γ5 | -0.2015 | -4.50*** |
| γ6 | 0.1030 | 2.58*** |
| γ7 | 0.0038 | 0.10 |
| γ8 | -0.0480 | -1.12 |
| γ9 | 0.0361 | 1.13 |
Persistence:
0.969
Half-life:
22 days
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