Philippines Stock Exchange PSEi Index MEM Volatility Analysis
Volatility prediction for Friday, July 10th, 2026
1 Day
17.88%
decreased by 0.86%
1 Week
18.39%
decreased by 0.35%
1 Month
19.87%
increased by 1.13%
Analysis last updated: Friday, July 10, 2026 at 08:31 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Mar 23, 1995 to Jun 11, 2026Model Insight
Volatility shocks decay with a half-life of 16 trading days, meaning a shock loses half its impact after approximately 16 days.
μ
MEM Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0921 | 11.18*** |
α ARCH Response to squared shocks | 0.2434 | 32.07*** |
β GARCH Volatility persistence | 0.7144 | 153.93*** |
Persistence:
0.958
Half-life:
16 days
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