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V-Lab

Stock Exchange of Thailand SET 50 Index GJR-GARCH 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 24th, 2026

1 Day

13.99%

decreased by 0.50%

1 Week

14.46%

decreased by 0.03%

1 Month

16.20%

increased by 1.71%

Analysis last updated: Friday, July 24, 2026 at 11:19 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

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graph of Stock Exchange of Thailand SET 50 Index GJR-GARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Aug 16, 1995 to Apr 30, 2026

Model Insight

With persistence 1.000, volatility shocks have a half-life of 1386294 trading days (~5501.2 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.

Leverage: Negative returns increase volatility 139% more than positive returns

σ

GJR-GARCH Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

0.0264
14.62***
α

ARCH

Response to squared shocks

0.0604
12.74***
β

GARCH

Volatility persistence

0.8977
227.22***
γ

leverage

Additional response to negative shocks

0.0837
5.95***

Persistence:

1.000

Half-life:

1386294 days