Karachi Stock Exchange KSE100 Index EGARCH Volatility Analysis
Volatility prediction for Thursday, October 29th, 2026
1 Day
16.64%
decreased by 0.16%
1 Week
17.33%
increased by 0.53%
1 Month
19.28%
increased by 2.48%
Analysis last updated: Thursday, October 29, 2026 at 08:40 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 1990 to Oct 23, 2026Model Insight
This asset exhibits a notable leverage effect: negative returns increase next-day volatility 61% more than equivalent positive returns.
σ
EGARCH Model
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Leverage: Negative returns increase volatility 61% more than positive returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0495 | 4.88*** |
| αARCH | 0.2534 | 8.87*** |
| βGARCH | 0.9291 | 29.97*** |
| γleverage | -0.0591 | -3.40*** |
0.929
Persistence9d
Half-lifeσ
EGARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0495 | 4.88*** |
α ARCH Response to squared shocks | 0.2534 | 8.87*** |
β GARCH Volatility persistence | 0.9291 | 29.97*** |
γ leverage Additional response to negative shocks | -0.0591 | -3.40*** |
Persistence:
0.929
Half-life:
9 days
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