V-Lab
Kusuri No Aoki Holdings Co AGARCH Volatility Analysis
Volatility prediction for Wednesday, August 12th, 2026
1 Day
28.31%
decreased by 0.29%
1 Week
30.91%
increased by 2.31%
1 Month
31.81%
increased by 3.21%
Analysis last updated: Tuesday, August 11, 2026 at 07:44 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 21, 2016 to Aug 10, 2026Model Insight
The news-impact curve is shifted (γ = 0.80) so that negative returns raise next-day volatility more than positive returns of the same size. The gap is largest for small shocks and narrows for larger ones.
σ
AGARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 2.3740 | 15.53*** |
α ARCH Response to squared shocks | 0.1550 | 11.77*** |
β GARCH Volatility persistence | 0.2399 | 6.17*** |
γ leverage Additional response to negative shocks | 0.8005 | 8.73*** |
Persistence:
0.395
Half-life:
1 days
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