Straits Times Index STI Asy. MEM Volatility Analysis
Volatility prediction for Monday, October 19th, 2026
1 Day
16.34%
decreased by 1.05%
1 Week
16.37%
decreased by 1.02%
1 Month
16.47%
decreased by 0.92%
Analysis last updated: Friday, October 16, 2026 at 10:03 AM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jun 9, 1992 to Oct 16, 2026Model Insight
This asset exhibits a modest leverage effect: negative returns increase next-day volatility 50% more than equivalent positive returns.
μ
AMEM Model
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Leverage: Negative returns increase volatility 50% more than positive returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0187 | 7.34*** |
| αARCH | 0.1423 | 10.41*** |
| βGARCH | 0.8065 | 80.01*** |
| γleverage | 0.0708 | 2.98*** |
0.984
Persistence43d
Half-lifeμ
AMEM Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0187 | 7.34*** |
α ARCH Response to squared shocks | 0.1423 | 10.41*** |
β GARCH Volatility persistence | 0.8065 | 80.01*** |
γ leverage Additional response to negative shocks | 0.0708 | 2.98*** |
Persistence:
0.984
Half-life:
43 days
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