Dana Brata Luhur Tbk PT 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 Friday, October 16th, 2026
1 Day
186.40%
increased by 45.58%
1 Week
199.95%
increased by 59.13%
1 Month
246.82%
increased by 106.00%
Analysis last updated: Friday, October 16, 2026 at 09:13 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 18, 2019 to Oct 9, 2026Model Insight
With persistence 1.000, volatility shocks have a half-life of 86643 trading days (~343.8 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
τ
Spline-GARCH Model
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High persistence: persistence 1.000, shock half-life ~86643 days
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.2192 | 0.00 |
| αARCH | 0.2832 | 0.00 |
| βGARCH | 0.7168 | 0.00 |
Spline Coefficients
K=10
| γ1 | -6.6240 | 0.00 |
| γ2 | -1.8414 | 0.00 |
| γ3 | 9.6410 | 0.00 |
| γ4 | 0.4292 | 0.00 |
| γ5 | -2.6578 | 0.00 |
| γ6 | 1.7549 | 0.01 |
| γ7 | -1.3338 | 0.00 |
| γ8 | 7.8475 | 0.01 |
| γ9 | -19.0509 | -0.02 |
| γ10 | 26.4649 | 0.75 |
1.000
Persistence86643d
Half-lifeτ
Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.2192 | 0.00 |
α ARCH Response to squared shocks | 0.2832 | 0.00 |
β GARCH Volatility persistence | 0.7168 | 0.00 |
Spline Coefficients
K=10
| γ1 | -6.6240 | 0.00 |
| γ2 | -1.8414 | 0.00 |
| γ3 | 9.6410 | 0.00 |
| γ4 | 0.4292 | 0.00 |
| γ5 | -2.6578 | 0.00 |
| γ6 | 1.7549 | 0.01 |
| γ7 | -1.3338 | 0.00 |
| γ8 | 7.8475 | 0.01 |
| γ9 | -19.0509 | -0.02 |
| γ10 | 26.4649 | 0.75 |
Persistence:
1.000
Half-life:
86643 days
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