V-Lab: Kajima Corp MF2-GARCH Volatility Analysis

V-Lab

Kajima Corp MF2-GARCH Volatility Analysis

Volatility Prediction for Wednesday, June 25th, 2025:27.00% (+0.38%)

Analysis last updated: Wednesday, June 25, 2025 at 11:22 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	26
$α$	0.0765	21.79
$β$	0.7122	72.97
$γ$	0.1187	18.16
$λ_{1}$	0.0238	3.00
$λ_{2}$	0.0203	4.81
$λ_{3}$	0.9750	177.05

Estimation Period:
Jan 3, 1990 to Jun 20, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts