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

V-Lab

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V-Lab

NTT DOCOMO Inc Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, December 25th, 2020:5.91% (-0.02%)

Analysis last updated: Thursday, December 24, 2020 at 10:43 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.3428	3.94
$α$	0.1773	6.84
$β$	0.7865	42.05
$γ_{1}$	-0.0851	-3.74
$γ_{2}$	0.1211	3.70
$γ_{3}$	-0.0284	-1.22
$γ_{4}$	-0.0591	-1.95

Estimation Period:
Oct 22, 1998 to Dec 18, 2020

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts