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 Tuesday, January 14th, 2025:13.37% (-0.57%)

Analysis last updated: Monday, January 13, 2025 at 12:02 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0871	5.10
$α$	0.0943	8.80
$β$	0.8750	69.32
$γ_{1}$	-0.1821	-3.44
$γ_{2}$	0.3395	4.33
$γ_{3}$	-0.3086	-5.79
$γ_{4}$	0.2702	5.32
$γ_{5}$	-0.1837	-3.91
$γ_{6}$	0.0754	1.73
$γ_{7}$	-0.0086	-0.17
$γ_{8}$	0.0178	0.34
$γ_{9}$	-0.0460	-0.62

Estimation Period:
Jan 1, 1990 to Jan 10, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts