Dongbang Agro Co Asy. MEM Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Tuesday, July 21st, 2026
1 Day
11.55%
1 Week
12.52%
1 Month
15.80%
Analysis last updated: Tuesday, July 21, 2026 at 07:25 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 3, 1990 to Jul 16, 2026Model Insight
Estimated persistence of 1.000 is at or above 1 (non-stationary): volatility shocks do not decay and the long-run variance is undefined, so long-horizon forecasts should be treated with caution.
Inverse leverage: Positive returns increase volatility 59% more than negative returns
AMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0461 | 11.60*** |
α ARCH Response to squared shocks | 0.2052 | 26.10*** |
β GARCH Volatility persistence | 0.8329 | 228.81*** |
γ leverage Additional response to negative shocks | -0.0761 | -6.75*** |
Persistence:
1.000
Half-life:
-
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