S&P BSE SENSEX Index Spline-GARCH Volatility Analysis
Volatility prediction for Monday, October 19th, 2026
1 Day
16.55%
decreased by 0.69%
1 Week
16.40%
decreased by 0.84%
1 Month
15.90%
decreased by 1.34%
Analysis last updated: Friday, October 16, 2026 at 12:04 PM UTC
Press Delete or Backspace to remove this series.
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 1990 to Oct 16, 2026Model Insight
This model fits a time-varying baseline (a spline), so volatility mean-reverts toward a slowly-shifting long-run level rather than a constant. Short-run deviations decay with a half-life of 23 trading days.
τ
Spline-GARCH Model
Tap to view equation
Time-varying baseline: volatility reverts to a slowly-shifting spline trend
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.1714 | 5.44*** |
| αARCH | 0.0917 | 9.05*** |
| βGARCH | 0.8786 | 72.74*** |
Spline Coefficients
K=9
| γ1 | -0.1400 | -2.93*** |
| γ2 | 0.2690 | 3.77*** |
| γ3 | -0.2655 | -5.49*** |
| γ4 | 0.2629 | 5.48*** |
| γ5 | -0.2143 | -4.69*** |
| γ6 | 0.1111 | 2.71*** |
| γ7 | -0.0003 | -0.01 |
| γ8 | -0.0460 | -0.88 |
| γ9 | 0.0369 | 0.54 |
0.970
Persistence23d
Half-lifeτ
Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.1714 | 5.44*** |
α ARCH Response to squared shocks | 0.0917 | 9.05*** |
β GARCH Volatility persistence | 0.8786 | 72.74*** |
Spline Coefficients
K=9
| γ1 | -0.1400 | -2.93*** |
| γ2 | 0.2690 | 3.77*** |
| γ3 | -0.2655 | -5.49*** |
| γ4 | 0.2629 | 5.48*** |
| γ5 | -0.2143 | -4.69*** |
| γ6 | 0.1111 | 2.71*** |
| γ7 | -0.0003 | -0.01 |
| γ8 | -0.0460 | -0.88 |
| γ9 | 0.0369 | 0.54 |
Persistence:
0.970
Half-life:
23 days
Other S&P BSE SENSEX Index Analyses
Other Spline-GARCH Analyses on Equity Indices