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 Monday, July 29th, 2024:10.36% (-0.33%)

Analysis last updated: Friday, July 26, 2024 at 12:03 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0638	4.94
$α$	0.0958	8.80
$β$	0.8737	68.48
$γ_{1}$	-0.1895	-3.42
$γ_{2}$	0.3472	4.26
$γ_{3}$	-0.3029	-5.45
$γ_{4}$	0.2505	4.79
$γ_{5}$	-0.1528	-3.19
$γ_{6}$	0.0466	1.05
$γ_{7}$	0.0072	0.15
$γ_{8}$	0.0063	0.14
$γ_{9}$	-0.0162	-0.58

Estimation Period:
Jan 1, 1990 to Jul 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts