Tadawul All Share TASI Index GARCH Volatility Analysis
Volatility prediction for Saturday, July 18th, 2026
1 Day
9.65%
decreased by 0.43%
1 Week
10.45%
increased by 0.37%
1 Month
13.01%
increased by 2.93%
Analysis last updated: Thursday, July 16, 2026 at 05:45 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Oct 19, 1998 to Jul 15, 2026Model Insight
With persistence 0.990, volatility shocks have a half-life of 71 trading days (~0.3 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
σ
GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0357 | 21.63*** |
α ARCH Response to squared shocks | 0.1669 | 43.94*** |
β GARCH Volatility persistence | 0.8234 | 260.64*** |
Persistence:
0.990
Half-life:
71 days
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