Skip to main content
V-Lab

Taisei Corp MF2-GARCH Volatility Analysis

Volatility prediction for Monday, August 17th, 2026

1 Day

43.32%

decreased by 2.22%

1 Week

45.33%

decreased by 0.21%

1 Month

48.88%

increased by 3.34%

Analysis last updated: Saturday, August 15, 2026 at 10:53 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of Taisei Corp MF2-GARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Jan 3, 1990 to Aug 14, 2026

Model Insight

This asset exhibits a strong leverage effect: negative returns increase next-day volatility 117% more than equivalent positive returns.

σ

MF2-GARCH Model

Tap to view equation

ParameterValuet-statistic
m

window

Rolling window length

106
α

ARCH

Response to squared shocks

0.0879
24.77***
β

GARCH

Volatility persistence

0.7041
91.34***
γ

leverage

Additional response to negative shocks

0.1026
15.41***
λ₁

tau intercept

Baseline long-term coefficient

0.2608
1.87*
λ₂

forecast adj.

Forecast performance sensitivity

0.2383
2.05**
λ₃

tau persistence

Long-term factor persistence

0.7146
4.96***

Persistence:

0.843

Half-life:

4 days