Panbrothers Tbk Asy. MEM Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Monday, July 20th, 2026
1 Day
70.03%
1 Week
70.19%
1 Month
70.81%
Analysis last updated: Sunday, July 19, 2026 at 05:07 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Oct 28, 1992 to Jul 17, 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.
Inverse leverage: Positive returns increase volatility 66% more than negative returns
AMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0436 | 8.91*** |
α ARCH Response to squared shocks | 0.1238 | 31.41*** |
β GARCH Volatility persistence | 0.9008 | 366.64*** |
γ leverage Additional response to negative shocks | -0.0492 | -6.60*** |
Persistence:
1.000
Half-life:
-
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