Nissui Corp MF2-GARCH Volatility Analysis
Volatility prediction for Tuesday, July 21st, 2026
1 Day
31.55%
increased by 1.45%
1 Week
33.59%
increased by 3.49%
1 Month
35.80%
increased by 5.70%
Analysis last updated: Sunday, July 19, 2026 at 01:29 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 3, 1990 to Jul 17, 2026Model Insight
This asset exhibits a strong leverage effect: negative returns increase next-day volatility 128% more than equivalent positive returns.
σ
MF2-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 66 | |
α ARCH Response to squared shocks | 0.1031 | 20.41*** |
β GARCH Volatility persistence | 0.5362 | 32.36*** |
γ leverage Additional response to negative shocks | 0.1318 | 13.44*** |
λ₁ tau intercept Baseline long-term coefficient | 0.1906 | 1.24 |
λ₂ forecast adj. Forecast performance sensitivity | 0.1606 | 1.45 |
λ₃ tau persistence Long-term factor persistence | 0.8024 | 5.72*** |
Persistence:
0.705
Half-life:
2 days
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