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, December 23rd, 2024:14.02% (+0.74%)

Analysis last updated: Friday, December 20, 2024 at 12:02 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1246	5.23
$α$	0.0942	8.82
$β$	0.8753	69.61
$γ_{1}$	-0.1691	-3.17
$γ_{2}$	0.3173	4.01
$γ_{3}$	-0.2910	-5.40
$γ_{4}$	0.2534	4.95
$γ_{5}$	-0.1686	-3.58
$γ_{6}$	0.0640	1.47
$γ_{7}$	-0.0002	-0.00
$γ_{8}$	0.0067	0.14
$γ_{9}$	-0.0177	-0.58

Estimation Period:
Jan 1, 1990 to Dec 20, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts