V-Lab: S&P BSE SENSEX Index Zero Slope Spline-GARCH Volatility Analysis

V-Lab

S&P BSE SENSEX Index Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, May 9th, 2025:13.51% (-0.61%)

Analysis last updated: Thursday, May 8, 2025 at 01:26 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1532	5.40
$α$	0.0935	8.82
$β$	0.8757	69.58
$γ_{1}$	-0.1584	-3.06
$γ_{2}$	0.3016	3.91
$γ_{3}$	-0.2845	-5.41
$γ_{4}$	0.2558	5.08
$γ_{5}$	-0.1785	-3.84
$γ_{6}$	0.0733	1.72
$γ_{7}$	-0.0009	-0.02
$γ_{8}$	0.0015	0.03
$γ_{9}$	-0.0144	-0.45

Estimation Period:
Jan 1, 1990 to May 2, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts