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 Thursday, March 23rd, 2023:13.28% (-0.47%)

Analysis last updated: Wednesday, March 22, 2023, 12:32 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1471	5.37
$α$	0.0911	8.79
$β$	0.8807	71.91
$γ_{1}$	-0.1247	-2.62
$γ_{2}$	0.2394	3.37
$γ_{3}$	-0.2385	-5.01
$γ_{4}$	0.2417	5.07
$γ_{5}$	-0.2041	-4.51
$γ_{6}$	0.1128	2.78
$γ_{7}$	-0.0069	-0.21
$γ_{8}$	-0.0299	-1.23

Estimation Period:
Jan 1, 1990 to Mar 17, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts