Bangladesh Dhaka Stock Exchange Broad Index AGARCH Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Thursday, October 15th, 2026
1 Day
9.95%
1 Week
10.31%
1 Month
11.76%
Analysis last updated: Thursday, October 15, 2026 at 06:04 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 28, 2013 to Oct 8, 2026Model Insight
Estimated persistence of 1.012 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 | 0.0089 | 3.16*** |
| αARCH | 0.2121 | 13.16*** |
| βGARCH | 0.7999 | 67.20*** |
| γleverage | 0.0597 | 1.72* |
1.012
Persistence-
Half-lifeAGARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0089 | 3.16*** |
α ARCH Response to squared shocks | 0.2121 | 13.16*** |
β GARCH Volatility persistence | 0.7999 | 67.20*** |
γ leverage Additional response to negative shocks | 0.0597 | 1.72* |
Persistence:
1.012
Half-life:
-
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