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

V-Lab

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V-Lab

S&P BSE SENSEX Index Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 2nd, 2024:12.72% (+1.12%)

Analysis last updated: Tuesday, April 30, 2024 at 12:04 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0957	5.02
$α$	0.0914	9.00
$β$	0.8807	74.80
$γ_{1}$	-0.1852	-3.25
$γ_{2}$	0.3423	4.06
$γ_{3}$	-0.3004	-5.19
$γ_{4}$	0.2433	4.50
$γ_{5}$	-0.1409	-2.85
$γ_{6}$	0.0358	0.77
$γ_{7}$	0.0117	0.23
$γ_{8}$	0.0057	0.13
$γ_{9}$	-0.0149	-0.55

Estimation Period:
Jan 1, 1990 to Apr 30, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts