V-Lab: ITC Ltd MF2-GARCH Volatility Analysis

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V-Lab

ITC Ltd MF2-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 2nd, 2024:18.49% (-0.59%)

Analysis last updated: Thursday, May 2, 2024 at 10:27 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	41
$α$	0.0881	23.70
$β$	0.7754	91.83
$γ$	0.0522	8.99
$λ_{1}$	0.0140	3.49
$λ_{2}$	0.0165	5.05
$λ_{3}$	0.9800	241.43

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

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