V-Lab
Kajima Corp EGARCH Volatility Analysis
Volatility prediction for Monday, August 10th, 2026
1 Day
35.78%
increased by 0.27%
1 Week
36.02%
increased by 0.51%
1 Month
36.79%
increased by 1.28%
Analysis last updated: Saturday, August 8, 2026 at 10:25 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 3, 1990 to Aug 7, 2026Model Insight
This asset exhibits a notable leverage effect: negative returns increase next-day volatility 68% more than equivalent positive returns.
σ
EGARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0694 | 20.57*** |
α ARCH Response to squared shocks | 0.1977 | 41.77*** |
β GARCH Volatility persistence | 0.9616 | 572.36*** |
γ leverage Additional response to negative shocks | -0.0504 | -9.85*** |
Persistence:
0.962
Half-life:
18 days
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