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

V-Lab

S&P BSE SENSEX Index Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, May 19th, 2025:21.67% (+0.06%)

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
$ω$	1.0980	5.12
$α$	0.0932	8.89
$β$	0.8769	70.66
$γ_{1}$	-0.1758	-3.36
$γ_{2}$	0.3294	4.25
$γ_{3}$	-0.3045	-5.77
$γ_{4}$	0.2740	5.40
$γ_{5}$	-0.1940	-4.11
$γ_{6}$	0.0830	1.92
$γ_{7}$	-0.0030	-0.06
$γ_{8}$	-0.0070	-0.13
$γ_{9}$	0.0238	0.33

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts