Stock Exchange of Thailand SET 50 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 Friday, July 10th, 2026
1 Day
18.19%
increased by 0.08%
1 Week
18.52%
increased by 0.41%
1 Month
19.80%
increased by 1.69%
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
Jun 17, 1996 to Apr 30, 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
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0244 | 6.63*** |
α ARCH Response to squared shocks | 0.2456 | 52.72*** |
β GARCH Volatility persistence | 0.7544 | 207.43*** |
Persistence:
1.000
Half-life:
-
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