V-Lab: Bank of Rajasthan Ltd Zero Slope Spline-GARCH Volatility Analysis

V-Lab

Bank of Rajasthan Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, August 24th, 2010:54.29% (-1.29%)

Analysis last updated: Friday, January 29, 2016 at 03:03 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9121	8.35
$α$	0.2330	6.26
$β$	0.3998	4.85
$γ_{1}$	0.0559	0.70
$γ_{2}$	-0.1835	-1.45
$γ_{3}$	0.2226	2.26
$γ_{4}$	-0.1332	-1.43
$γ_{5}$	0.0807	0.96
$γ_{6}$	-0.0708	-1.15

Estimation Period:
Apr 6, 1995 to Aug 23, 2010

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts