V-Lab: Maruti Suzuki India Ltd Spline-GARCH Volatility Analysis

V-Lab

| |

V-Lab

Maruti Suzuki India Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 7th, 2024:17.99% (-0.88%)

Analysis last updated: Wednesday, May 8, 2024 at 12:14 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.3699	8.08
$α$	0.0781	5.82
$β$	0.8656	41.06
$γ_{1}$	0.0294	1.67
$γ_{2}$	-0.0601	-2.15
$γ_{3}$	0.0759	3.08
$γ_{4}$	-0.1332	-3.88

Estimation Period:
Jul 9, 2003 to May 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts