V-Lab
Kajima Corp APARCH Volatility Analysis
Volatility prediction for Friday, September 4th, 2026
1 Day
32.26%
decreased by 1.57%
1 Week
32.78%
decreased by 1.05%
1 Month
34.47%
increased by 0.64%
Analysis last updated: Friday, September 4, 2026 at 07:38 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 3, 1990 to Aug 28, 2026Model Insight
This asset exhibits a notable leverage effect: negative returns increase next-day volatility 90% more than equivalent positive returns. The volatility power δ = 1.20 sits below 2, so large shocks influence volatility less than quadratically, a more outlier-robust response than standard GARCH.
σ
APARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0950 | 4.77*** |
α ARCH Response to squared shocks | 0.1061 | 10.11*** |
β GARCH Volatility persistence | 0.8822 | 70.39*** |
γ leverage Additional response to negative shocks | 0.2628 | 3.90*** |
δ power Transformation power | 1.1966 | 7.13*** |
Persistence:
0.969
Half-life:
22 days
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