V-Lab
Kei Industries Ltd GJR-GARCH Volatility Analysis
Volatility prediction for Tuesday, August 25th, 2026
1 Day
39.53%
decreased by 0.94%
1 Week
40.38%
decreased by 0.09%
1 Month
43.06%
increased by 2.59%
Analysis last updated: Tuesday, August 25, 2026 at 07:02 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jul 5, 2006 to Aug 21, 2026Model Insight
This asset exhibits a modest leverage effect: negative returns increase next-day volatility 32% more than equivalent positive returns.
σ
GJR-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.3263 | 16.88*** |
α ARCH Response to squared shocks | 0.0610 | 18.11*** |
β GARCH Volatility persistence | 0.8989 | 226.71*** |
γ leverage Additional response to negative shocks | 0.0197 | 2.86*** |
Persistence:
0.970
Half-life:
23 days
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