Tadawul All Share TASI Index MEM Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Saturday, October 17th, 2026
1 Day
15.09%
decreased by 0.22%
1 Week
15.09%
decreased by 0.22%
1 Month
15.10%
decreased by 0.21%
Analysis last updated: Friday, October 16, 2026 at 11:49 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Mar 29, 2000 to Oct 15, 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.
μ
MEM Model
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High persistence: persistence 1.000 ≥ 1, shocks do not decay
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0001 | 0.99 |
| αARCH | 0.1227 | 4.62*** |
| βGARCH | 0.8773 | 40.70*** |
1.000
Persistence-
Half-lifeμ
MEM Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0001 | 0.99 |
α ARCH Response to squared shocks | 0.1227 | 4.62*** |
β GARCH Volatility persistence | 0.8773 | 40.70*** |
Persistence:
1.000
Half-life:
-
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