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V-Lab

Shimizu Corp GJR-GARCH Volatility Analysis

Volatility prediction for Thursday, July 16th, 2026

1 Day

37.71%

increased by 1.51%

1 Week

37.77%

increased by 1.57%

1 Month

37.94%

increased by 1.74%

Analysis last updated: Thursday, July 16, 2026 at 07:17 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of Shimizu Corp GJR-GARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Jan 3, 1990 to Jul 10, 2026

Model Insight

This asset exhibits a notable leverage effect: negative returns increase next-day volatility 96% more than equivalent positive returns.

σ

GJR-GARCH Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

0.2564
23.60***
α

ARCH

Response to squared shocks

0.0862
16.18***
β

GARCH

Volatility persistence

0.8287
192.41***
γ

leverage

Additional response to negative shocks

0.0826
8.11***

Persistence:

0.956

Half-life:

15 days