V-Lab
Paysafe Group Ltd MEM Volatility Analysis
Inactive
Last recorded values (Wednesday, December 20th, 2017):
1 Day
43.86%
1 Week
47.51%
1 Month
59.09%
Analysis last updated: Tuesday, December 19, 2017 at 05:19 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Apr 13, 2004 to Dec 15, 2017Model Insight
Volatility shocks decay with a half-life of 59 trading days, meaning a shock loses half its impact after approximately 59 days.
μ
MEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.7590 | 13.38*** |
α ARCH Response to squared shocks | 0.3667 | 22.43*** |
β GARCH Volatility persistence | 0.6216 | 61.79*** |
Persistence:
0.988
Half-life:
59 days
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