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 Thursday, March 23rd, 2023:12.05% (-0.50%)

Analysis last updated: Wednesday, March 22, 2023, 12:32 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9658	4.88
$α$	0.0915	8.63
$β$	0.8738	66.22
$γ_{1}$	-0.2677	-3.91
$γ_{2}$	0.4449	4.53
$γ_{3}$	-0.2592	-3.83
$γ_{4}$	0.0311	0.48
$γ_{5}$	0.2011	2.83
$γ_{6}$	-0.3021	-4.21
$γ_{7}$	0.2363	3.67
$γ_{8}$	-0.1469	-2.36
$γ_{9}$	0.1702	2.86
$γ_{10}$	-0.2583	-2.90

Estimation Period:
Jan 1, 1990 to Mar 17, 2023

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