V-Lab
Bai-Kakaji Polymers Ltd Asy. Power MEM Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Friday, September 11th, 2026
1 Day
50.84%
1 Week
51.29%
1 Month
53.08%
Analysis last updated: Friday, September 11, 2026 at 07:25 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Dec 31, 2025 to Sep 4, 2026Model Insight
With persistence 1.000, volatility shocks have a half-life of 5800519 trading days (~23017.9 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. The volatility power δ = 1.27 sits below 2, so large shocks influence volatility less than quadratically, a more outlier-robust response than standard GARCH.
APMEM Model
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| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0244 | 2.58*** |
| αARCH | 0.0000 | 0.00 |
| βGARCH | 1.0000 | 39.54*** |
| γleverage | 0.9990 | 0.00 |
| δpower | 1.2670 | 1.60 |
1.000
Persistence5800519d
Half-lifeAPMEM Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0244 | 2.58*** |
α ARCH Response to squared shocks | 0.0000 | 0.00 |
β GARCH Volatility persistence | 1.0000 | 39.54*** |
γ leverage Additional response to negative shocks | 0.9990 | 0.00 |
δ power Transformation power | 1.2670 | 1.60 |
Persistence:
1.000
Half-life:
5800519 days
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