Grab Holdings Limited AGARCH Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Monday, July 13th, 2026
1 Day
42.16%
decreased by 2.05%
1 Week
43.25%
decreased by 0.96%
1 Month
47.65%
increased by 3.44%
Analysis last updated: Friday, July 10, 2026 at 10:05 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Oct 1, 2020 to Jul 10, 2026Model Insight
Estimated persistence of 1.011 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.
Asymmetry: positive returns raise volatility more
σ
AGARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0623 | 4.92*** |
α ARCH Response to squared shocks | 0.1274 | 18.51*** |
β GARCH Volatility persistence | 0.8836 | 163.03*** |
γ leverage Additional response to negative shocks | -0.5796 | -6.60*** |
Persistence:
1.011
Half-life:
-
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