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
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Aug 14, 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 | 0.0589 | 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
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