V-Lab: NTPC Ltd Spline-GARCH Volatility Analysis

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V-Lab

NTPC Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 2nd, 2024:25.92% (-0.81%)

Analysis last updated: Thursday, May 2, 2024 at 10:31 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9188	4.79
$α$	0.0866	5.68
$β$	0.7952	23.29
$γ_{1}$	0.1553	1.20
$γ_{2}$	-0.4236	-2.20
$γ_{3}$	0.5181	4.00
$γ_{4}$	-0.3663	-3.16
$γ_{5}$	0.0625	0.68
$γ_{6}$	0.2640	3.37
$γ_{7}$	-0.4683	-5.27
$γ_{8}$	0.5220	3.46

Estimation Period:
Nov 4, 2004 to Apr 30, 2024

News Impact Curve

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Volatility Forecasts

Volatility Forecasts