V-Lab
Kusuri No Aoki Holdings Co GJR-GARCH Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
31.44%
decreased by 6.52%
1 Week
31.95%
decreased by 6.01%
1 Month
32.19%
decreased by 5.77%
Analysis last updated: Sunday, July 26, 2026 at 02:29 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 21, 2016 to Jul 24, 2026Model Insight
This asset exhibits a strong leverage effect: negative returns increase next-day volatility 252% more than equivalent positive returns.
σ
GJR-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 2.1420 | 12.03*** |
α ARCH Response to squared shocks | 0.0761 | 6.28*** |
β GARCH Volatility persistence | 0.3094 | 6.96*** |
γ leverage Additional response to negative shocks | 0.1917 | 5.37*** |
Persistence:
0.481
Half-life:
1 days
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