V-Lab
Samhallsbygg I Nor 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 Friday, September 4th, 2026
1 Day
53.08%
1 Week
58.31%
1 Month
75.72%
Analysis last updated: Friday, September 4, 2026 at 06:42 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Feb 3, 2023 to Aug 20, 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.
AMEM Model
Tap to view equation
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.1574 | 1.42 |
| αARCH | 0.0520 | 1.13 |
| βGARCH | 0.8489 | 13.00*** |
| γleverage | 0.1981 | 1.46 |
1.000
Persistence-
Half-lifeAMEM Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.1574 | 1.42 |
α ARCH Response to squared shocks | 0.0520 | 1.13 |
β GARCH Volatility persistence | 0.8489 | 13.00*** |
γ leverage Additional response to negative shocks | 0.1981 | 1.46 |
Persistence:
1.000
Half-life:
-
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