V-Lab
Obayashi Corp EGARCH Volatility Analysis
Volatility prediction for Thursday, August 13th, 2026
1 Day
29.70%
decreased by 2.17%
1 Week
30.33%
decreased by 1.54%
1 Month
32.34%
increased by 0.47%
Analysis last updated: Thursday, August 13, 2026 at 07:56 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 3, 1990 to Aug 10, 2026Model Insight
This asset exhibits a modest leverage effect: negative returns increase next-day volatility 43% more than equivalent positive returns.
σ
EGARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0793 | 20.99*** |
α ARCH Response to squared shocks | 0.2320 | 41.13*** |
β GARCH Volatility persistence | 0.9542 | 471.45*** |
γ leverage Additional response to negative shocks | -0.0409 | -8.14*** |
Persistence:
0.954
Half-life:
15 days
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