BDI Baltic Exchange Dry Index GARCH Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Friday, July 10th, 2026
1 Day
31.58%
decreased by 3.56%
1 Week
31.85%
decreased by 3.29%
1 Month
32.90%
decreased by 2.24%
Analysis last updated: Friday, July 10, 2026 at 08:29 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 1990 to Apr 4, 2025Model 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.
σ
GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0338 | 33.47*** |
α ARCH Response to squared shocks | 0.3171 | 47.86*** |
β GARCH Volatility persistence | 0.6829 | 135.17*** |
Persistence:
1.000
Half-life:
-
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