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V-Lab

Shimizu Corp AGARCH Volatility Analysis

Volatility prediction for Friday, August 7th, 2026

1 Day

34.92%

decreased by 2.42%

1 Week

35.18%

decreased by 2.16%

1 Month

35.93%

decreased by 1.41%

Analysis last updated: Friday, August 7, 2026 at 07:24 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of Shimizu Corp AGARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Jan 3, 1990 to Jul 31, 2026

Model Insight

The news-impact curve is shifted (γ = 0.48) 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

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

0.2337
19.41***
α

ARCH

Response to squared shocks

0.1256
34.97***
β

GARCH

Volatility persistence

0.8279
201.54***
γ

leverage

Additional response to negative shocks

0.4787
10.67***

Persistence:

0.953

Half-life:

15 days