Value of this in object's method defined with anonymous function literal

Question

The following object myObj has the same method defined in three different ways (at least I though they were interchangeable), but the method defined with anonymous literal behaves differently:

const myObj = {
  msg: 'dude',
  say1: () => {
    console.log(this.msg)
  },
  say2: function() {
    console.log(this.msg)
  },
  say3() {
    console.log(this.msg)
  }
}

myObj.say1()
myObj.say2()
myObj.say3()

Result:

undefined
dude
dude

Where does this point to from inside say1 ? Why is it different from say2 and say3 ? I am running this in Node.js (v8.4.0).