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, June 5th, 2026
1 Day
11.82%
decreased by 0.62%
1 Week
12.46%
increased by 0.02%
1 Month
14.75%
increased by 2.31%
Analysis last updated: Friday, June 5, 2026 at 08:19 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
| param | t-stat | |
|---|---|---|
| 0.0051 | 2.17 | |
| 0.1080 | 26.69 | |
| 0.8938 | 228.88 | |
| 0.4747 | 13.17 |
Estimation Period:
Aug 16, 1995 to Apr 30, 2026
Aug 16, 1995 to Apr 30, 2026
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