Daito Koun 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, July 21st, 2026
1 Day
25.04%
increased by 0.16%
1 Week
25.36%
increased by 0.48%
1 Month
26.57%
increased by 1.69%
Analysis last updated: Sunday, July 19, 2026 at 02:19 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Aug 8, 1994 to Jul 17, 2026Illiquid Asset
Model 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.
μ
AMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0312 | 7.81*** |
α ARCH Response to squared shocks | 0.0514 | 14.73*** |
β GARCH Volatility persistence | 0.9520 | 397.67*** |
γ leverage Additional response to negative shocks | -0.0069 | -1.02 |
Persistence:
1.000
Half-life:
-
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