V-Lab: Tata Steel Ltd Spline-GARCH Volatility Analysis

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V-Lab

Tata Steel Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, May 8th, 2024:18.05% (+1.71%)

Analysis last updated: Thursday, May 9, 2024 at 02:34 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8462	5.88
$α$	0.0808	7.96
$β$	0.8759	56.82
$γ_{1}$	-0.2416	-2.85
$γ_{2}$	0.4116	3.23
$γ_{3}$	-0.3059	-4.20
$γ_{4}$	0.2082	3.63
$γ_{5}$	-0.0400	-0.74
$γ_{6}$	-0.1446	-2.76
$γ_{7}$	0.2328	4.01
$γ_{8}$	-0.2111	-2.95
$γ_{9}$	0.2214	1.86
$γ_{10}$	-0.4986	-2.08

Estimation Period:
Jan 1, 1990 to May 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts