Stock Exchange of Thailand SET 50 Index APARCH Volatility Analysis
Volatility prediction for Friday, July 17th, 2026
1 Day
14.59%
1 Week
15.03%
1 Month
16.65%
Analysis last updated: Friday, July 17, 2026 at 11:34 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Aug 16, 1995 to Apr 30, 2026Model Insight
With persistence 0.992, volatility shocks have a half-life of 90 trading days (~0.4 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. The volatility power δ = 1.63 sits below 2, so large shocks influence volatility less than quadratically, a more outlier-robust response than standard GARCH.
Leverage: Negative returns increase volatility 140% more than positive returns
APARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0285 | 12.29*** |
α ARCH Response to squared shocks | 0.0964 | 21.99*** |
β GARCH Volatility persistence | 0.9036 | 262.98*** |
γ leverage Additional response to negative shocks | 0.2614 | 12.18*** |
δ power Transformation power | 1.6325 | 20.77*** |
Persistence:
0.992
Half-life:
90 days
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