V-Lab
Kei Industries Ltd GJR-GARCH Volatility Analysis
Volatility prediction for Monday, August 10th, 2026
1 Day
45.85%
decreased by 1.56%
1 Week
46.25%
decreased by 1.16%
1 Month
47.55%
increased by 0.14%
Analysis last updated: Saturday, August 8, 2026 at 10:10 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jul 5, 2006 to Aug 7, 2026Model Insight
This asset exhibits a modest leverage effect: negative returns increase next-day volatility 31% more than equivalent positive returns.
σ
GJR-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.3320 | 16.91*** |
α ARCH Response to squared shocks | 0.0620 | 18.16*** |
β GARCH Volatility persistence | 0.8978 | 224.05*** |
γ leverage Additional response to negative shocks | 0.0191 | 2.74*** |
Persistence:
0.969
Half-life:
22 days
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