V-Lab
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, August 17th, 2026
1 Day
13.65%
decreased by 0.69%
1 Week
14.23%
decreased by 0.11%
1 Month
16.34%
increased by 2.00%
Analysis last updated: Friday, August 14, 2026 at 08:03 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 21, 1992 to Aug 14, 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
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0320 | 7.86*** |
α ARCH Response to squared shocks | 0.2074 | 53.27*** |
β GARCH Volatility persistence | 0.7926 | 259.60*** |
Persistence:
1.000
Half-life:
-
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