Indonesia Prima Prop (Pt) 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
59.80%
increased by 5.79%
1 Week
64.07%
increased by 10.06%
1 Month
78.88%
increased by 24.87%
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 99021 trading days (~392.9 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
τ
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 | 0.1961 | 0.00 |
β GARCH Volatility persistence | 0.8039 | 0.00 |
Spline Coefficients
K=7
| γ1 | -3.5336 | -0.01 |
| γ2 | 2.9389 | 0.00 |
| γ3 | 1.6560 | 0.00 |
| γ4 | -1.5578 | 0.00 |
| γ5 | 0.7088 | 0.00 |
| γ6 | -0.5902 | 0.00 |
| γ7 | 0.9822 | 0.00 |
Persistence:
1.000
Half-life:
99021 days
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