V-Lab
Saudi Industrial Export Co Asy. Power MEM Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Sunday, July 26th, 2026
1 Day
33.10%
1 Week
34.48%
1 Month
39.36%
Analysis last updated: Friday, July 24, 2026 at 08:13 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Dec 14, 2005 to Jul 23, 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. The volatility power δ = 2.29 sits above 2, so large shocks influence volatility more than quadratically, dominating the response more than in standard GARCH.
Leverage: Negative returns increase volatility 18% more than positive returns
APMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.2651 | 9.86*** |
α ARCH Response to squared shocks | 0.1742 | 21.42*** |
β GARCH Volatility persistence | 0.8039 | 166.81*** |
γ leverage Additional response to negative shocks | 0.0355 | 4.21*** |
δ power Transformation power | 2.2930 | 13.50*** |
Persistence:
1.000
Half-life:
-
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