V-Lab
Kyoritsu Maintenance Co Ltd MF2-GARCH Volatility Analysis
Volatility prediction for Monday, August 24th, 2026
1 Day
33.20%
increased by 1.77%
1 Week
32.10%
increased by 0.67%
1 Month
31.31%
decreased by 0.12%
Analysis last updated: Saturday, August 22, 2026 at 08:02 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 20, 2021 to Aug 21, 2026Model Insight
This asset exhibits a notable leverage effect: negative returns increase next-day volatility 83% more than equivalent positive returns.
σ
MF2-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 111 | |
α ARCH Response to squared shocks | 0.0884 | 8.26*** |
β GARCH Volatility persistence | 0.5033 | 9.53*** |
γ leverage Additional response to negative shocks | 0.0737 | 3.83*** |
λ₁ tau intercept Baseline long-term coefficient | 3.8183 | 0.00 |
λ₂ forecast adj. Forecast performance sensitivity | 0.0000 | 0.00 |
λ₃ tau persistence Long-term factor persistence | 0.0000 | 0.00 |
Persistence:
0.629
Half-life:
1 days
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