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
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 3, 1990 to Jul 31, 2026Model 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
| Parameter | Value | t-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
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