Centiel AG 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
97.35%
decreased by 4.07%
1 Week
97.50%
decreased by 3.92%
1 Month
98.11%
decreased by 3.31%
Analysis last updated: Tuesday, July 21, 2026 at 08:16 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Sep 12, 2006 to Jul 17, 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.
μ
AMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0589 | 11.20*** |
α ARCH Response to squared shocks | 0.0912 | 15.10*** |
β GARCH Volatility persistence | 0.9060 | 241.40*** |
γ leverage Additional response to negative shocks | 0.0057 | 0.63 |
Persistence:
1.000
Half-life:
-
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