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
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Mar 15, 2000 to Aug 21, 2026Model 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
| Parameter | Value | t-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
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