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 Wednesday, October 4th, 2023:10.66% (-0.09%)

Analysis last updated: Tuesday, October 3, 2023 at 12:31 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0554	4.85
$α$	0.0922	8.95
$β$	0.8799	73.89
$γ_{1}$	-0.2026	-3.42
$γ_{2}$	0.3677	4.23
$γ_{3}$	-0.3083	-5.18
$γ_{4}$	0.2331	4.25
$γ_{5}$	-0.1157	-2.32
$γ_{6}$	0.0101	0.22
$γ_{7}$	0.0234	0.48
$γ_{8}$	0.0084	0.20
$γ_{9}$	-0.0207	-0.81

Estimation Period:
Jan 1, 1990 to Sep 29, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts