Kajima Corp EGARCH Volatility Analysis
Volatility prediction for Tuesday, October 13th, 2026
1 Day
28.19%
decreased by 1.04%
1 Week
28.88%
decreased by 0.35%
1 Month
31.23%
increased by 2.00%
Analysis last updated: Saturday, October 10, 2026 at 11:56 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 3, 1990 to Oct 9, 2026Model Insight
This asset exhibits a notable leverage effect: negative returns increase next-day volatility 68% more than equivalent positive returns.
σ
EGARCH Model
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Leverage: Negative returns increase volatility 68% more than positive returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0691 | 5.14*** |
| αARCH | 0.1971 | 10.42*** |
| βGARCH | 0.9617 | 143.41*** |
| γleverage | -0.0498 | -2.44** |
0.962
Persistence18d
Half-lifeσ
EGARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0691 | 5.14*** |
α ARCH Response to squared shocks | 0.1971 | 10.42*** |
β GARCH Volatility persistence | 0.9617 | 143.41*** |
γ leverage Additional response to negative shocks | -0.0498 | -2.44** |
Persistence:
0.962
Half-life:
18 days
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