Stock Exchange of Thailand SET 50 Index GJR-GARCH Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Friday, June 12th, 2026
1 Day
14.32%
decreased by 0.46%
1 Week
14.77%
decreased by 0.01%
1 Month
16.48%
increased by 1.70%
Analysis last updated: Friday, June 12, 2026 at 10:24 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
| param | t-stat | |
|---|---|---|
| 0.0264 | 14.62 | |
| 0.0604 | 12.74 | |
| 0.8977 | 227.22 | |
| 0.0837 | 5.95 |
Estimation Period:
Aug 16, 1995 to Apr 30, 2026
Aug 16, 1995 to Apr 30, 2026
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