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 Monday, April 22nd, 2024:25.14% (-1.38%)

Analysis last updated: Sunday, April 21, 2024 at 02:09 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9273	7.55
$α$	0.0911	3.02
$β$	0.6159	5.02
$γ_{1}$	0.0383	0.37
$γ_{2}$	-0.2240	-1.30
$γ_{3}$	0.4280	2.26
$γ_{4}$	-0.5161	-3.23
$γ_{5}$	0.6682	5.07
$γ_{6}$	-0.6661	-4.93
$γ_{7}$	0.1449	1.04
$γ_{8}$	0.2904	2.92

Estimation Period:
Jul 20, 2009 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts