Taisei Corp Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Friday, October 16th, 2026
1 Day
39.09%
increased by 8.32%
1 Week
39.01%
increased by 8.24%
1 Month
38.82%
increased by 8.05%
Analysis last updated: Friday, October 16, 2026 at 07:47 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 3, 1990 to Oct 9, 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 | 1.1372 | 7.57*** |
| αARCH | 0.1261 | 9.10*** |
| βGARCH | 0.7830 | 35.90*** |
Spline Coefficients
K=10
| γ1 | -0.0009 | -0.02 |
| γ2 | 0.0871 | 1.32 |
| γ3 | -0.1623 | -3.16*** |
| γ4 | 0.0531 | 1.12 |
| γ5 | 0.0988 | 2.16** |
| γ6 | -0.1579 | -3.07*** |
| γ7 | 0.1390 | 2.47** |
| γ8 | -0.0783 | -1.36 |
| γ9 | 0.0519 | 1.12 |
| γ10 | -0.0528 | -1.80* |
0.909
Persistence7d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.1372 | 7.57*** |
α ARCH Response to squared shocks | 0.1261 | 9.10*** |
β GARCH Volatility persistence | 0.7830 | 35.90*** |
Spline Coefficients
K=10
| γ1 | -0.0009 | -0.02 |
| γ2 | 0.0871 | 1.32 |
| γ3 | -0.1623 | -3.16*** |
| γ4 | 0.0531 | 1.12 |
| γ5 | 0.0988 | 2.16** |
| γ6 | -0.1579 | -3.07*** |
| γ7 | 0.1390 | 2.47** |
| γ8 | -0.0783 | -1.36 |
| γ9 | 0.0519 | 1.12 |
| γ10 | -0.0528 | -1.80* |
Persistence:
0.909
Half-life:
7 days
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