V-Lab
BlockFin Holdings Ltd AGARCH 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
58.61%
1 Week
59.60%
1 Month
63.64%
Analysis last updated: Tuesday, September 8, 2026 at 08:17 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 2007 to Aug 25, 2026Model Insight
Estimated persistence of 1.010 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.
AGARCH Model
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| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0940 | 2.48** |
| αARCH | 0.1193 | 5.74*** |
| βGARCH | 0.8905 | 62.83*** |
| γleverage | -0.1267 | -0.36 |
1.010
Persistence-
Half-lifeAGARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0940 | 2.48** |
α ARCH Response to squared shocks | 0.1193 | 5.74*** |
β GARCH Volatility persistence | 0.8905 | 62.83*** |
γ leverage Additional response to negative shocks | -0.1267 | -0.36 |
Persistence:
1.010
Half-life:
-
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