Panbrothers Tbk AGARCH 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
70.48%
1 Week
71.93%
1 Month
78.11%
Analysis last updated: Sunday, July 19, 2026 at 05:08 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Aug 20, 1990 to Jul 17, 2026Model Insight
Estimated persistence of 1.017 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.
Asymmetry: negative returns raise volatility more
AGARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0573 | 5.94*** |
α ARCH Response to squared shocks | 0.1143 | 35.48*** |
β GARCH Volatility persistence | 0.9028 | 337.12*** |
γ leverage Additional response to negative shocks | 0.2575 | 2.50** |
Persistence:
1.017
Half-life:
-
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