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

V-Lab

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V-Lab

NTT Data Group Corp Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, May 8th, 2024:23.69% (+0.57%)

Analysis last updated: Thursday, May 9, 2024 at 12:58 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2526	6.03
$α$	0.1173	6.44
$β$	0.7739	25.62
$γ_{1}$	0.1241	3.74
$γ_{2}$	-0.2361	-5.23
$γ_{3}$	0.1877	7.16
$γ_{4}$	-0.1112	-4.14
$γ_{5}$	0.0451	1.35
$γ_{6}$	0.0101	0.25
$γ_{7}$	-0.0667	-1.20

Estimation Period:
Apr 26, 1995 to May 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts