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V-Lab

Shimizu Corp MF2-GARCH Volatility Analysis

Volatility prediction for Monday, August 17th, 2026

1 Day

37.02%

decreased by 0.90%

1 Week

40.20%

increased by 2.28%

1 Month

42.92%

increased by 5.00%

Analysis last updated: Saturday, August 15, 2026 at 10:34 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 14, 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

0.6925
61.11***
γ

leverage

Additional response to negative shocks

0.0945
11.79***
λ₁

tau intercept

Baseline long-term coefficient

0.1906
1.57
λ₂

forecast adj.

Forecast performance sensitivity

0.1233
1.62
λ₃

tau persistence

Long-term factor persistence

0.8395
8.47***

Persistence:

0.835

Half-life:

4 days