V-Lab: Maruti Suzuki India Ltd Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Maruti Suzuki India Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:22.99% (+1.69%)

Analysis last updated: Sunday, April 21, 2024 at 01:55 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.6710	8.22
$α$	0.0782	5.70
$β$	0.8537	35.18
$γ_{1}$	0.1800	2.58
$γ_{2}$	-0.2128	-1.79
$γ_{3}$	0.0061	0.05
$γ_{4}$	0.0484	0.39
$γ_{5}$	-0.0690	-0.72
$γ_{6}$	0.2014	2.44
$γ_{7}$	-0.3555	-4.55
$γ_{8}$	0.3024	5.28

Estimation Period:
Jul 9, 2003 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts