V-Lab
Solactive Myanmar-Focused Asia Index Asy. MEM Volatility Analysis
Inactive
Last recorded values (Monday, March 10th, 2025):
1 Day
12.75%
1 Week
12.82%
1 Month
13.08%
Analysis last updated: Wednesday, September 2, 2026 at 04:05 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 19, 2012 to Mar 7, 2025Model Insight
With persistence 0.994, volatility shocks have a half-life of 120 trading days (~0.5 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
Leverage: Negative returns increase volatility 90% more than positive returns
μ
AMEM Model
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High persistence: persistence 0.994, shock half-life ~120 daysLeverage: Negative returns increase volatility 90% more than positive returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0072 | 3.93*** |
| αARCH | 0.0802 | 4.94*** |
| βGARCH | 0.8780 | 69.73*** |
| γleverage | 0.0720 | 2.39** |
0.994
Persistence120d
Half-lifeμ
AMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0072 | 3.93*** |
α ARCH Response to squared shocks | 0.0802 | 4.94*** |
β GARCH Volatility persistence | 0.8780 | 69.73*** |
γ leverage Additional response to negative shocks | 0.0720 | 2.39** |
Persistence:
0.994
Half-life:
120 days
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