V-Lab
Nissui Corp GJR-GARCH Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
26.02%
decreased by 0.84%
1 Week
26.90%
increased by 0.04%
1 Month
29.65%
increased by 2.79%
Analysis last updated: Sunday, July 26, 2026 at 02:08 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 3, 1990 to Jul 24, 2026Model 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
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.1714 | 20.86*** |
α ARCH Response to squared shocks | 0.0654 | 20.26*** |
β GARCH Volatility persistence | 0.8748 | 252.97*** |
γ leverage Additional response to negative shocks | 0.0629 | 7.27*** |
Persistence:
0.972
Half-life:
24 days
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