Dana Brata Luhur Tbk PT EGARCH Volatility Analysis
Volatility prediction for Tuesday, July 14th, 2026
1 Day
45.96%
decreased by 3.44%
1 Week
48.54%
decreased by 0.86%
1 Month
59.65%
increased by 10.25%
Analysis last updated: Tuesday, July 14, 2026 at 08:33 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 18, 2019 to Jul 10, 2026Model Insight
Volatility shocks decay with a half-life of 38 trading days, meaning a shock loses half its impact after approximately 38 days.
σ
EGARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0929 | 11.58*** |
α ARCH Response to squared shocks | 0.3032 | 16.72*** |
β GARCH Volatility persistence | 0.9818 | 469.52*** |
γ leverage Additional response to negative shocks | 0.0130 | 1.16 |
Persistence:
0.982
Half-life:
38 days
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