V-Lab
Jason Co Ltd 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, September 8th, 2026
1 Day
20.09%
1 Week
20.83%
1 Month
23.53%
Analysis last updated: Tuesday, September 8, 2026 at 08:58 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Apr 26, 2007 to Sep 4, 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.
AMEM Model
Tap to view equation
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0594 | 1.42 |
| αARCH | 0.1438 | 3.80*** |
| βGARCH | 0.8783 | 45.55*** |
| γleverage | -0.0443 | -0.73 |
1.000
Persistence-
Half-lifeAMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0594 | 1.42 |
α ARCH Response to squared shocks | 0.1438 | 3.80*** |
β GARCH Volatility persistence | 0.8783 | 45.55*** |
γ leverage Additional response to negative shocks | -0.0443 | -0.73 |
Persistence:
1.000
Half-life:
-
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