Skip to main content
V-Lab

Ito Yogyo Co Ltd GJR-GARCH Volatility Analysis

Volatility prediction for Monday, August 24th, 2026

1 Day

50.83%

decreased by 3.12%

1 Week

51.41%

decreased by 2.54%

1 Month

53.27%

decreased by 0.68%

Analysis last updated: Saturday, August 22, 2026 at 11:03 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of Ito Yogyo Co Ltd GJR-GARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Mar 15, 2000 to Aug 21, 2026

Model Insight

This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 46% more than negative returns. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and uncommon among risky assets.

σ

GJR-GARCH Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

0.4235
17.41***
α

ARCH

Response to squared shocks

0.1571
18.41***
β

GARCH

Volatility persistence

0.8383
160.07***
γ

leverage

Additional response to negative shocks

-0.0498
-4.00***

Persistence:

0.970

Half-life:

23 days