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V-Lab

Shimizu Corp MF2-GARCH Volatility Analysis

Volatility prediction for Tuesday, August 25th, 2026

1 Day

39.76%

decreased by 1.39%

1 Week

41.40%

increased by 0.25%

1 Month

42.23%

increased by 1.08%

Analysis last updated: Tuesday, August 25, 2026 at 07:22 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of Shimizu 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 21, 2026

Model Insight

This asset exhibits a notable leverage effect: negative returns increase next-day volatility 99% more than equivalent positive returns.

σ

MF2-GARCH Model

Tap to view equation

ParameterValuet-statistic
m

window

Rolling window length

76
α

ARCH

Response to squared shocks

0.0952
18.79***
β

GARCH

Volatility persistence

0.6927
61.15***
γ

leverage

Additional response to negative shocks

0.0944
11.78***
λ₁

tau intercept

Baseline long-term coefficient

0.1910
1.57
λ₂

forecast adj.

Forecast performance sensitivity

0.1234
1.62
λ₃

tau persistence

Long-term factor persistence

0.8394
8.44***

Persistence:

0.835

Half-life:

4 days