V-Lab
PT M Cash Integras GARCH Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Monday, August 10th, 2026
1 Day
209.66%
increased by 95.86%
1 Week
210.50%
increased by 96.70%
1 Month
213.83%
increased by 100.03%
Analysis last updated: Sunday, August 9, 2026 at 03:05 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 1, 2017 to Aug 7, 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.
σ
GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.7005 | 16.24*** |
α ARCH Response to squared shocks | 0.2884 | 16.76*** |
β GARCH Volatility persistence | 0.7116 | 66.89*** |
Persistence:
1.000
Half-life:
-
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