OMX Tallinn Index AGARCH Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Tuesday, June 16th, 2026
1 Day
6.32%
decreased by 0.20%
1 Week
6.89%
increased by 0.37%
1 Month
8.92%
increased by 2.40%
Analysis last updated: Tuesday, June 16, 2026 at 05:55 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
| param | t-stat | |
|---|---|---|
| 0.0131 | 18.01 | |
| 0.1546 | 39.48 | |
| 0.8556 | 247.15 | |
| 0.0178 | 1.04 |
Estimation Period:
Jun 3, 1996 to Jun 12, 2026
Jun 3, 1996 to Jun 12, 2026
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