V-Lab
Kajima Corp GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, September 11th, 2026
1 Day
36.01%
increased by 3.53%
1 Week
36.02%
increased by 3.54%
1 Month
36.06%
increased by 3.58%
Analysis last updated: Friday, September 11, 2026 at 08:01 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 3, 1990 to Sep 4, 2026Model Insight
Volatility shocks decay with a half-life of 49 trading days, meaning a shock loses half its impact after approximately 49 days. Returns follow a Student-t distribution with v = 5.20 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
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Shock decay: Shocks decay with a 49-day half-lifev = 5.20 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 5.2505 | 1.30 |
| αARCH | 0.0617 | 6.77*** |
| βGARCH | 0.9859 | 81.12*** |
| νDF | 5.1980 | 1.81* |
0.986
Persistence49d
Half-life𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 5.2505 | 1.30 |
α ARCH Response to squared shocks | 0.0617 | 6.77*** |
β GARCH Volatility persistence | 0.9859 | 81.12*** |
ν DF Student-t tail thickness | 5.1980 | 1.81* |
Persistence:
0.986
Half-life:
49 days
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