Trust Finance Indonesia Tbk PT 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, July 14th, 2026
1 Day
151.15%
1 Week
152.90%
1 Month
159.83%
Analysis last updated: Tuesday, July 14, 2026 at 08:31 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Apr 22, 2003 to Jul 10, 2026Model Insight
Estimated persistence of 1.002 is at or above 1 (non-stationary): volatility shocks do not decay and the long-run variance is undefined, so long-horizon forecasts should be treated with caution.
Asymmetry: negative returns raise volatility more
AGARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.5607 | 6.66*** |
α ARCH Response to squared shocks | 0.2032 | 24.52*** |
β GARCH Volatility persistence | 0.7993 | 113.51*** |
γ leverage Additional response to negative shocks | 1.1491 | 6.40*** |
Persistence:
1.002
Half-life:
-
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