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 Monday, April 21st, 2025:20.72% (-1.12%)

Analysis last updated: Thursday, April 17, 2025 at 12:02 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1352	5.30
$α$	0.0936	8.82
$β$	0.8756	69.53
$γ_{1}$	-0.1614	-3.08
$γ_{2}$	0.3051	3.93
$γ_{3}$	-0.2852	-5.40
$γ_{4}$	0.2552	5.06
$γ_{5}$	-0.1771	-3.80
$γ_{6}$	0.0722	1.69
$γ_{7}$	-0.0008	-0.02
$γ_{8}$	0.0023	0.05
$γ_{9}$	-0.0154	-0.48

Estimation Period:
Jan 1, 1990 to Apr 17, 2025

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts