V-Lab: NTT Data Group Corp Zero Slope Spline-GARCH Volatility Analysis

V-Lab

| |

V-Lab

NTT Data Group Corp Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:27.23% (-0.07%)

Analysis last updated: Sunday, April 21, 2024 at 12:31 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.4701	5.62
$α$	0.1178	6.11
$β$	0.7597	22.65
$γ_{1}$	0.2696	3.82
$γ_{2}$	-0.3520	-3.60
$γ_{3}$	0.0018	0.03
$γ_{4}$	0.1803	3.23
$γ_{5}$	-0.1306	-2.03
$γ_{6}$	0.0360	0.50
$γ_{7}$	-0.0444	-0.63
$γ_{8}$	0.1331	1.78
$γ_{9}$	-0.1779	-2.44
$γ_{10}$	0.1143	2.13

Estimation Period:
Apr 26, 1995 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts