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, May 19th, 2025:21.17% (+0.08%)

Analysis last updated: Friday, May 16, 2025 at 12:02 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1412	5.33
$α$	0.0927	8.80
$β$	0.8768	69.96
$γ_{1}$	-0.1591	-3.05
$γ_{2}$	0.3017	3.90
$γ_{3}$	-0.2837	-5.38
$γ_{4}$	0.2556	5.07
$γ_{5}$	-0.1791	-3.84
$γ_{6}$	0.0741	1.73
$γ_{7}$	-0.0013	-0.03
$γ_{8}$	0.0028	0.06
$γ_{9}$	-0.0169	-0.52

Estimation Period:
Jan 1, 1990 to May 16, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts