Indonesia Prima Prop (Pt) Zero Slope Spline-GARCH Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Friday, July 17th, 2026
1 Day
47.50%
increased by 10.10%
1 Week
48.78%
increased by 11.38%
1 Month
53.61%
increased by 16.21%
Analysis last updated: Friday, July 17, 2026 at 09:11 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jul 31, 1992 to Jul 10, 2026Model Insight
With persistence 1.000, volatility shocks have a half-life of 115524 trading days (~458.4 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
τ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0000 | 0.00 |
α ARCH Response to squared shocks | 0.2253 | 0.00 |
β GARCH Volatility persistence | 0.7747 | 0.00 |
Spline Coefficients
K=9
| γ1 | -5.3710 | 0.00 |
| γ2 | 4.9716 | 0.00 |
| γ3 | -0.3230 | 0.00 |
| γ4 | 2.6426 | 0.01 |
| γ5 | -3.2813 | 0.00 |
| γ6 | 2.0235 | 0.01 |
| γ7 | -1.0720 | 0.00 |
| γ8 | 0.3992 | 0.00 |
| γ9 | 0.1120 | 0.00 |
Persistence:
1.000
Half-life:
115524 days
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