Makoto Construction Co Ltd GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, July 21st, 2026
1 Day
44.04%
increased by 10.64%
1 Week
45.40%
increased by 12.00%
1 Month
49.30%
increased by 15.90%
Analysis last updated: Sunday, July 19, 2026 at 02:24 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Feb 21, 2006 to Jul 17, 2026Model Insight
Volatility shocks decay with a half-life of 16 trading days, meaning a shock loses half its impact after approximately 16 days. Returns follow a Student-t distribution with v = 2.51 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 13.6585 | 3.36*** |
α ARCH Response to squared shocks | 0.1704 | 30.89*** |
β GARCH Volatility persistence | 0.9580 | 76.17*** |
ν DF Student-t tail thickness | 2.5096 | 42.93*** |
Persistence:
0.958
Half-life:
16 days
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