Shanghai Stock Exchange Composite 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 Monday, November 2nd, 2026
1 Day
18.70%
increased by 0.65%
1 Week
19.13%
increased by 1.08%
1 Month
20.73%
increased by 2.68%
Analysis last updated: Friday, October 30, 2026 at 08:05 AM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 21, 1992 to Oct 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
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High persistence: persistence 1.000 ≥ 1, shocks do not decay
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0317 | 1.96* |
| αARCH | 0.2064 | 13.34*** |
| βGARCH | 0.7936 | 65.56*** |
1.000
Persistence-
Half-lifeμ
MEM Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0317 | 1.96* |
α ARCH Response to squared shocks | 0.2064 | 13.34*** |
β GARCH Volatility persistence | 0.7936 | 65.56*** |
Persistence:
1.000
Half-life:
-
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