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{name} Model Equation

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Param	Value	t-stat
mwindow	26
αARCH	0.0768	5.61***
βGARCH	0.7140	19.82***
γleverage	0.1127	4.40***
λ₁tau intercept	0.0282	1.95*
λ₂forecast adj.	0.0227	3.28***
λ₃tau persistence	0.9719	105.51***

Parameter	Value	t-statistic
m window Rolling window length	26
α ARCH Response to squared shocks	0.0768	5.61***
β GARCH Volatility persistence	0.7140	19.82***
γ leverage Additional response to negative shocks	0.1127	4.40***
λ₁ tau intercept Baseline long-term coefficient	0.0282	1.95*
λ₂ forecast adj. Forecast performance sensitivity	0.0227	3.28***
λ₃ tau persistence Long-term factor persistence	0.9719	105.51***

V-Lab

Kajima Corp MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Kajima Corp Analyses