V-Lab: ITC Ltd Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

ITC Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 16th, 2024:19.73% (-1.06%)

Analysis last updated: Friday, May 17, 2024 at 12:47 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	2.2489	7.08
$α$	0.0910	7.45
$β$	0.8330	37.51
$γ_{1}$	0.1141	5.42
$γ_{2}$	-0.1794	-5.55
$γ_{3}$	0.1153	5.05
$γ_{4}$	-0.0852	-3.91
$γ_{5}$	0.0598	2.83
$γ_{6}$	-0.0328	-1.40
$γ_{7}$	-0.0196	-0.39

Estimation Period:
Jan 1, 1990 to May 10, 2024

News Impact Curve

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Volatility Forecasts

Volatility Forecasts