V-Lab
Nissui Corp Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Thursday, September 24th, 2026
1 Day
31.36%
increased by 5.10%
1 Week
30.85%
increased by 4.59%
1 Month
29.64%
increased by 3.38%
Analysis last updated: Saturday, September 19, 2026 at 11:18 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 3, 1990 to Sep 18, 2026Model Insight
This model fits a time-varying baseline (a spline), so volatility mean-reverts toward a slowly-shifting long-run level rather than a constant. Short-run deviations decay with a half-life of 7 trading days.
τ
Zero Slope Spline-GARCH Model
Tap to view equation
Time-varying baseline: volatility reverts to a slowly-shifting spline trend
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.4710 | 6.10*** |
| αARCH | 0.1147 | 7.54*** |
| βGARCH | 0.7960 | 31.91*** |
Spline Coefficients
K=9
| γ1 | 0.0345 | 0.96 |
| γ2 | -0.0136 | -0.25 |
| γ3 | -0.0895 | -2.51** |
| γ4 | 0.1551 | 4.28*** |
| γ5 | -0.1611 | -4.03*** |
| γ6 | 0.1454 | 3.69*** |
| γ7 | -0.1331 | -3.24*** |
| γ8 | 0.0911 | 1.96* |
| γ9 | -0.0303 | -0.88 |
0.911
Persistence7d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.4710 | 6.10*** |
α ARCH Response to squared shocks | 0.1147 | 7.54*** |
β GARCH Volatility persistence | 0.7960 | 31.91*** |
Spline Coefficients
K=9
| γ1 | 0.0345 | 0.96 |
| γ2 | -0.0136 | -0.25 |
| γ3 | -0.0895 | -2.51** |
| γ4 | 0.1551 | 4.28*** |
| γ5 | -0.1611 | -4.03*** |
| γ6 | 0.1454 | 3.69*** |
| γ7 | -0.1331 | -3.24*** |
| γ8 | 0.0911 | 1.96* |
| γ9 | -0.0303 | -0.88 |
Persistence:
0.911
Half-life:
7 days
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