V-Lab
Tokyo Stock Exchange Tokyo Stock Price Index TOPIX GJR-GARCH Volatility Analysis
Volatility prediction for Friday, July 24th, 2026
1 Day
20.81%
decreased by 1.23%
1 Week
20.75%
decreased by 1.29%
1 Month
20.58%
decreased by 1.46%
Analysis last updated: Friday, July 24, 2026 at 05:42 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Jul 17, 2026Model Insight
This asset exhibits a strong leverage effect: volatility responds almost entirely to negative shocks. The ARCH response to positive shocks is negligible.
σ
GJR-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0588 | 28.24*** |
α ARCH Response to squared shocks | 0.0330 | 11.65*** |
β GARCH Volatility persistence | 0.8566 | 357.96*** |
γ leverage Additional response to negative shocks | 0.1471 | 19.70*** |
Persistence:
0.963
Half-life:
18 days
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