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

V-Lab

| |

V-Lab

S&P BSE SENSEX Index Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:9.71% (+0.06%)

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

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0525	5.03
$α$	0.0915	8.90
$β$	0.8777	70.85
$γ_{1}$	-0.1958	-3.56
$γ_{2}$	0.3604	4.44
$γ_{3}$	-0.3149	-5.72
$γ_{4}$	0.2575	5.00
$γ_{5}$	-0.1557	-3.29
$γ_{6}$	0.0523	1.18
$γ_{7}$	-0.0131	-0.27
$γ_{8}$	0.0664	1.41
$γ_{9}$	-0.1969	-2.86

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts