V-Lab: NTT DOCOMO Inc MF2-GARCH Volatility Analysis

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V-Lab

NTT DOCOMO Inc MF2-GARCH Volatility Analysis

Volatility Prediction for Friday, December 25th, 2020:6.94% (-0.02%)

Analysis last updated: Sunday, March 21, 2021 at 05:53 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	21
$α$	0.2360	10.31
$β$	0.0000	0.00
$γ$	-0.0387	-1.92
$λ_{1}$	0.1380	0.74
$λ_{2}$	0.5850	1.40
$λ_{3}$	0.4150	0.95

Estimation Period:
Oct 22, 1998 to Dec 24, 2020

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts