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V-Lab

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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Date Range:

from

10/09/2024

to

10/09/2026

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of Kajima Corp EGARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Jan 3, 1990 to Oct 9, 2026

Model 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

Leverage: Negative returns increase volatility 68% more than positive returns
ParamValuet-stat
ωconst0.0691
5.14***
αARCH0.1971
10.42***
βGARCH0.9617
143.41***
γleverage-0.0498
-2.44**

0.962

Persistence

18d

Half-life
σ

EGARCH Model

Tap to view equation

ParameterValuet-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