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 Tuesday, April 30th, 2024:33.82% (-2.99%)

Analysis last updated: Sunday, April 28, 2024 at 12:08 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.4079	5.51
$α$	0.1170	6.47
$β$	0.7735	25.46
$γ_{1}$	0.2244	3.75
$γ_{2}$	-0.3315	-3.99
$γ_{3}$	0.0846	1.73
$γ_{4}$	0.0938	2.06
$γ_{5}$	-0.1019	-1.93
$γ_{6}$	0.0016	0.02
$γ_{7}$	0.0983	1.34
$γ_{8}$	-0.1207	-1.91
$γ_{9}$	0.0666	1.50

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts