V-Lab
Kei Industries Ltd MF2-GARCH Volatility Analysis
Volatility prediction for Tuesday, August 11th, 2026
1 Day
39.88%
decreased by 2.97%
1 Week
41.36%
decreased by 1.49%
1 Month
42.85%
decreased by 0.00%
Analysis last updated: Tuesday, August 11, 2026 at 07:22 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 26% more than equivalent positive returns.
σ
MF2-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 106 | |
α ARCH Response to squared shocks | 0.1382 | 20.27*** |
β GARCH Volatility persistence | 0.5902 | 33.65*** |
γ leverage Additional response to negative shocks | 0.0364 | 2.78*** |
λ₁ tau intercept Baseline long-term coefficient | 0.8432 | 0.95 |
λ₂ forecast adj. Forecast performance sensitivity | 0.1712 | 1.48 |
λ₃ tau persistence Long-term factor persistence | 0.7371 | 3.52*** |
Persistence:
0.747
Half-life:
2 days
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