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 Tuesday, July 14th, 2026
1 Day
27.73%
decreased by 2.34%
1 Week
31.27%
increased by 1.20%
1 Month
42.59%
increased by 12.52%
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
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.
τ
Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.0479 | 0.00 |
α ARCH Response to squared shocks | 0.2843 | 0.00 |
β GARCH Volatility persistence | 0.7157 | 0.00 |
Spline Coefficients
K=5
| γ1 | -8.4276 | -0.01 |
| γ2 | 9.7369 | 0.01 |
| γ3 | -2.1861 | 0.00 |
| γ4 | 3.7604 | 0.03 |
| γ5 | -7.5389 | -0.02 |
Persistence:
1.000
Half-life:
77016 days
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