V-Lab
Stock Exchange of Thailand SET 50 Index AGARCH Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Friday, September 4th, 2026
1 Day
12.56%
1 Week
13.16%
1 Month
15.32%
Analysis last updated: Friday, September 4, 2026 at 11:27 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Aug 16, 1995 to Aug 27, 2026Model Insight
Estimated persistence of 1.002 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 | 0.0046 | 0.49 |
α ARCH Response to squared shocks | 0.1076 | 6.75*** |
β GARCH Volatility persistence | 0.8941 | 58.21*** |
γ leverage Additional response to negative shocks | 0.4771 | 3.33*** |
Persistence:
1.002
Half-life:
-
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