V-Lab
Spenda Ltd EGARCH Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Wednesday, September 9th, 2026
1 Day
366.64%
1 Week
368.15%
1 Month
374.28%
Analysis last updated: Wednesday, September 9, 2026 at 05:55 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 29, 2002 to Aug 28, 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.
Asymmetry: Negative shocks have larger impact on volatility (leverage effect)
EGARCH Model
Tap to view equation
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0041 | 0.23 |
| αARCH | 0.0334 | 2.82*** |
| βGARCH | 1.0000 | 361.66*** |
| γleverage | -0.0637 | -5.09*** |
1.000
Persistence-
Half-lifeEGARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0041 | 0.23 |
α ARCH Response to squared shocks | 0.0334 | 2.82*** |
β GARCH Volatility persistence | 1.0000 | 361.66*** |
γ leverage Additional response to negative shocks | -0.0637 | -5.09*** |
Persistence:
1.000
Half-life:
-
Other EGARCH Analyses on International Equities