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
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 3, 1990 to Aug 21, 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 | 0.1717 | 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
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