V-Lab
VT Co Ltd Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Wednesday, August 5th, 2026
1 Day
69.39%
increased by 4.70%
1 Week
69.18%
increased by 4.49%
1 Month
68.37%
increased by 3.68%
Analysis last updated: Wednesday, August 5, 2026 at 07:48 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 19, 2001 to Jul 31, 2026Model Insight
With persistence 0.993, volatility shocks have a half-life of 96 trading days (~0.4 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
τ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.0882 | 4.48*** |
α ARCH Response to squared shocks | 0.0639 | 4.49*** |
β GARCH Volatility persistence | 0.9289 | 55.50*** |
Spline Coefficients
K=2
| γ1 | -0.0076 | -1.73* |
| γ2 | 0.0111 | 2.05** |
Persistence:
0.993
Half-life:
96 days
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