Dana Brata Luhur Tbk PT Zero Slope Spline-GARCH Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Thursday, October 29th, 2026
1 Day
135.35%
1 Week
142.89%
1 Month
169.73%
Analysis last updated: Friday, October 30, 2026 at 12:40 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 18, 2019 to Oct 23, 2026Model Insight
With persistence 1.000, volatility shocks have a half-life of 77016 trading days (~305.6 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
Zero Slope Spline-GARCH Model
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| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.0724 | 0.00 |
| αARCH | 0.2749 | 0.00 |
| βGARCH | 0.7251 | 0.00 |
| γ1 | -9.0696 | 0.00 |
| γ2 | 4.6884 | 0.00 |
| γ3 | 7.0281 | 0.00 |
| γ4 | -3.2651 | 0.00 |
| γ5 | -0.2230 | 0.00 |
| γ6 | 5.4409 | 0.02 |
| γ7 | -8.2592 | -0.03 |
| γ8 | 3.9533 | 0.03 |
1.000
Persistence77016d
Half-lifeZero Slope Spline-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.0724 | 0.00 |
α ARCH Response to squared shocks | 0.2749 | 0.00 |
β GARCH Volatility persistence | 0.7251 | 0.00 |
| γ1 | -9.0696 | 0.00 |
| γ2 | 4.6884 | 0.00 |
| γ3 | 7.0281 | 0.00 |
| γ4 | -3.2651 | 0.00 |
| γ5 | -0.2230 | 0.00 |
| γ6 | 5.4409 | 0.02 |
| γ7 | -8.2592 | -0.03 |
| γ8 | 3.9533 | 0.03 |
Persistence:
1.000
Half-life:
77016 days
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