Skip to main content
V-Lab

Nissui Corp GJR-GARCH Volatility Analysis

Volatility prediction for Friday, August 7th, 2026

1 Day

35.50%

increased by 2.50%

1 Week

35.70%

increased by 2.70%

1 Month

36.38%

increased by 3.38%

Analysis last updated: Friday, August 7, 2026 at 07:15 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of Nissui Corp GJR-GARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Jan 3, 1990 to Jul 31, 2026

Model Insight

This asset exhibits a notable leverage effect: negative returns increase next-day volatility 96% more than equivalent positive returns.

σ

GJR-GARCH Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

0.1723
20.92***
α

ARCH

Response to squared shocks

0.0657
20.29***
β

GARCH

Volatility persistence

0.8744
252.43***
γ

leverage

Additional response to negative shocks

0.0629
7.25***

Persistence:

0.972

Half-life:

24 days