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V-Lab

Tokyo Stock Exchange Tokyo Stock Price Index TOPIX GJR-GARCH Volatility Analysis

Volatility prediction for Monday, August 17th, 2026

1 Day

14.97%

decreased by 0.58%

1 Week

15.39%

decreased by 0.16%

1 Month

16.62%

increased by 1.07%

Analysis last updated: Saturday, August 15, 2026 at 05:46 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of Tokyo Stock Exchange Tokyo Stock Price Index TOPIX GJR-GARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Jan 2, 1990 to Aug 14, 2026

Model 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

ParameterValuet-statistic
ω

const

Unconditional variance weight

0.0589
28.26***
α

ARCH

Response to squared shocks

0.0329
11.63***
β

GARCH

Volatility persistence

0.8565
357.78***
γ

leverage

Additional response to negative shocks

0.1470
19.72***

Persistence:

0.963

Half-life:

18 days