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

V-Lab

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V-Lab

S&P BSE SENSEX Index Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, July 29th, 2024:8.71% (-0.37%)

Analysis last updated: Friday, July 26, 2024 at 12:03 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0679	5.05
$α$	0.0965	8.65
$β$	0.8715	66.87
$γ_{1}$	-0.1923	-3.55
$γ_{2}$	0.3553	4.45
$γ_{3}$	-0.3144	-5.81
$γ_{4}$	0.2633	5.17
$γ_{5}$	-0.1663	-3.54
$γ_{6}$	0.0608	1.39
$γ_{7}$	-0.0126	-0.26
$γ_{8}$	0.0515	1.05
$γ_{9}$	-0.1490	-1.83

Estimation Period:
Jan 1, 1990 to Jul 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts