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 Thursday, May 2nd, 2024:21.68% (-0.43%)

Analysis last updated: Thursday, May 2, 2024 at 10:38 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0424	8.35
$α$	0.0866	2.90
$β$	0.6098	4.86
$γ_{1}$	0.4179	1.31
$γ_{2}$	-0.8660	-1.51
$γ_{3}$	0.7303	1.68
$γ_{4}$	-0.2579	-0.93
$γ_{5}$	-0.3340	-1.56
$γ_{6}$	0.8367	3.84
$γ_{7}$	-0.7793	-3.22
$γ_{8}$	0.1328	0.54
$γ_{9}$	-0.0304	-0.13
$γ_{10}$	0.3777	2.22

Estimation Period:
Jul 20, 2009 to Apr 30, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts