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V-Lab

Nissui Corp GJR-GARCH Volatility Analysis

Volatility prediction for Monday, August 24th, 2026

1 Day

28.12%

decreased by 1.10%

1 Week

28.83%

decreased by 0.39%

1 Month

31.08%

increased by 1.86%

Analysis last updated: Saturday, August 22, 2026 at 10:23 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 Aug 21, 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

0.1717
20.88***
α

ARCH

Response to squared shocks

0.0653
20.25***
β

GARCH

Volatility persistence

0.8748
253.13***
γ

leverage

Additional response to negative shocks

0.0630
7.28***

Persistence:

0.972

Half-life:

24 days