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, May 2nd, 2024:11.37% (+1.28%)

Analysis last updated: Tuesday, April 30, 2024 at 12:03 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0536	5.03
$α$	0.0916	8.91
$β$	0.8777	70.93
$γ_{1}$	-0.1960	-3.56
$γ_{2}$	0.3609	4.44
$γ_{3}$	-0.3154	-5.72
$γ_{4}$	0.2579	5.00
$γ_{5}$	-0.1560	-3.29
$γ_{6}$	0.0523	1.18
$γ_{7}$	-0.0125	-0.26
$γ_{8}$	0.0645	1.37
$γ_{9}$	-0.1897	-2.77

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts