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

V-Lab

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V-Lab

NTT Data Group Corp Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, April 18th, 2024:27.62% (+2.29%)

Analysis last updated: Thursday, April 18, 2024 at 10:59 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.4672	5.60
$α$	0.1177	6.11
$β$	0.7600	22.69
$γ_{1}$	0.2696	3.80
$γ_{2}$	-0.3517	-3.58
$γ_{3}$	0.0011	0.02
$γ_{4}$	0.1801	3.21
$γ_{5}$	-0.1293	-2.01
$γ_{6}$	0.0351	0.49
$γ_{7}$	-0.0453	-0.64
$γ_{8}$	0.1349	1.79
$γ_{9}$	-0.1786	-2.43
$γ_{10}$	0.1135	2.11

Estimation Period:
Apr 26, 1995 to Apr 12, 2024

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