L&T FIN

Visualization of data
Equation Estimation
GARCH Model
 Results
1. The coefficients are positive and statistically significant at 1% level.
2. C represents the average stock return
3. The past value is very significant at 0.998852. This tells us that the past value is very significant
at predicting the current value. It means the past value has a very good predictability of the
current value
4. Average Stock Return is 0.114971 and its past value significantly predicts the current series by
0.4748
5. The ARCH (161.4375) and GRACH (8.075456) are both positive and statistically significant at 1%
level
6. The time value volatility in this case includes a constant plus the left value of the conditional
variance and the left value of the squared error both of which are positive which when summed
together are less than 1
7. All coefficient of the conditional variance specification meets the stability conditions of
0<beta A<1 Theta A <1 and Beta A + Theta A <1
8. This gives the result of the GARCH model. The time- varying volatility includes a constant
0.039169 plus its past value 8.075456 and a component which depends on past errors 161.4375
Conclusion of Result
1. The finding establishes the presence of time varying conditional volatility of return of L&T Tech.
stock.
2. This result also indicates the persistence of volatility shocks, as represented by the sum of ARCH
and GARCH parameters (Beta A + Theta A), is large
3. It also denotes that the effect of shock remains in the forecasts of variance for many periods in
future.
Forecast Of Variance
 TATA ELEXI
Visualization of Data
Equation Estimation
GARCH Model
 Results
9. The coefficients are positive and statistically significant at 1% level.
10. C represents the average stock return
11. The past value is very significant at 1.0023. This tells us that the past value is very significant at
predicting the current value. It means the past value has a very good predictability of the
current value
12. Average Stock Return is -1.309306 and its past value significantly predicts the current series by
0.3925
13. The ARCH (88.244) and GRACH (10.31599) are both positive and statistically significant at 1%
level
14. The time value volatility in this case includes a constant plus the left value of the conditional
variance and the left value of the squared error both of which are positive which when summed
together are less than 1
15. All coefficient of the conditional variance specification meets the stability conditions of
0<beta A<1 Theta A <1 and Beta A + Theta A <1
16. This gives the result of the GARCH model. The time- varying volatility includes a constant
9.18476 plus its past value 10.31599 and a component which depends on past errors 88.244
Conclusion of Result
4. The finding establishes the presence of time varying conditional volatility of return of L&T Tech.
stock.
5. This result also indicates the persistence of volatility shocks, as represented by the sum of ARCH
and GARCH parameters (Beta A + Theta A), is large
6. It also denotes that the effect of shock remains in the forecasts of variance for many periods in
future.
Forecast Of Variance