Taisei Corp AGARCH Volatility Analysis
Volatility prediction for Thursday, October 8th, 2026
1 Day
31.49%
decreased by 1.71%
1 Week
31.98%
decreased by 1.22%
1 Month
33.57%
increased by 0.37%
Analysis last updated: Thursday, October 8, 2026 at 07:45 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 3, 1990 to Oct 2, 2026Model Insight
The news-impact curve is shifted (γ = 0.54) so that negative returns raise next-day volatility more than positive returns of the same size. The gap is largest for small shocks and narrows for larger ones.
σ
AGARCH Model
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Asymmetry: negative returns raise volatility more
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.1428 | 4.00*** |
| αARCH | 0.1060 | 10.59*** |
| βGARCH | 0.8661 | 67.15*** |
| γleverage | 0.5380 | 3.06*** |
0.972
Persistence24d
Half-lifeσ
AGARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.1428 | 4.00*** |
α ARCH Response to squared shocks | 0.1060 | 10.59*** |
β GARCH Volatility persistence | 0.8661 | 67.15*** |
γ leverage Additional response to negative shocks | 0.5380 | 3.06*** |
Persistence:
0.972
Half-life:
24 days
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