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V-Lab

Kei Industries Ltd MF2-GARCH Volatility Analysis

Volatility prediction for Tuesday, August 25th, 2026

1 Day

37.12%

decreased by 2.19%

1 Week

39.30%

decreased by 0.01%

1 Month

41.60%

increased by 2.29%

Analysis last updated: Tuesday, August 25, 2026 at 07:02 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of Kei Industries Ltd MF2-GARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Jul 5, 2006 to Aug 21, 2026

Model Insight

This asset exhibits a modest leverage effect: negative returns increase next-day volatility 27% more than equivalent positive returns.

σ

MF2-GARCH Model

Tap to view equation

ParameterValuet-statistic
m

window

Rolling window length

106
α

ARCH

Response to squared shocks

0.1384
20.13***
β

GARCH

Volatility persistence

0.5859
33.05***
γ

leverage

Additional response to negative shocks

0.0376
2.86***
λ₁

tau intercept

Baseline long-term coefficient

0.8399
0.95
λ₂

forecast adj.

Forecast performance sensitivity

0.1723
1.48
λ₃

tau persistence

Long-term factor persistence

0.7361
3.49***

Persistence:

0.743

Half-life:

2 days