V-Lab: Tata Motors Ltd Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Tata Motors Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, April 18th, 2024:22.76% (-0.31%)

Analysis last updated: Thursday, April 18, 2024 at 11:43 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9198	7.50
$α$	0.0914	3.02
$β$	0.6142	4.98
$γ_{1}$	0.0317	0.31
$γ_{2}$	-0.2155	-1.24
$γ_{3}$	0.4250	2.25
$γ_{4}$	-0.5144	-3.22
$γ_{5}$	0.6669	5.06
$γ_{6}$	-0.6649	-4.92
$γ_{7}$	0.1430	1.02
$γ_{8}$	0.2937	2.94

Estimation Period:
Jul 20, 2009 to Apr 16, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts