Taiwan Stock Exchange Weighted Index AGARCH Volatility Analysis
Volatility prediction for Friday, October 23rd, 2026
1 Day
23.54%
increased by 0.44%
1 Week
23.61%
increased by 0.51%
1 Month
23.86%
increased by 0.76%
Analysis last updated: Thursday, October 22, 2026 at 07:14 AM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 1990 to Oct 16, 2026Model Insight
The news-impact curve is shifted (γ = 0.56) so that negative returns raise next-day volatility more than positive returns of the same size. The gap is largest for small shocks and narrows for larger ones.
σ
AGARCH Model
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Asymmetry: negative returns raise volatility more
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0062 | 0.96 |
| αARCH | 0.0863 | 10.50*** |
| βGARCH | 0.9013 | 107.71*** |
| γleverage | 0.5635 | 7.35*** |
0.988
Persistence56d
Half-lifeσ
AGARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0062 | 0.96 |
α ARCH Response to squared shocks | 0.0863 | 10.50*** |
β GARCH Volatility persistence | 0.9013 | 107.71*** |
γ leverage Additional response to negative shocks | 0.5635 | 7.35*** |
Persistence:
0.988
Half-life:
56 days
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