V-Lab
Obayashi Corp Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Thursday, September 24th, 2026
1 Day
30.42%
decreased by 0.46%
1 Week
31.34%
increased by 0.46%
1 Month
33.30%
increased by 2.42%
Analysis last updated: Sunday, September 20, 2026 at 12:00 AM 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 | 1.1242 | 7.45*** |
| αARCH | 0.1406 | 9.44*** |
| βGARCH | 0.7641 | 37.66*** |
Spline Coefficients
K=9
| γ1 | -0.0071 | -0.21 |
| γ2 | 0.0730 | 1.51 |
| γ3 | -0.1629 | -5.75*** |
| γ4 | 0.1725 | 6.27*** |
| γ5 | -0.1267 | -4.24*** |
| γ6 | 0.0763 | 2.58*** |
| γ7 | -0.0361 | -1.23 |
| γ8 | 0.0372 | 1.21 |
| γ9 | -0.0425 | -1.70* |
0.905
Persistence7d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.1242 | 7.45*** |
α ARCH Response to squared shocks | 0.1406 | 9.44*** |
β GARCH Volatility persistence | 0.7641 | 37.66*** |
Spline Coefficients
K=9
| γ1 | -0.0071 | -0.21 |
| γ2 | 0.0730 | 1.51 |
| γ3 | -0.1629 | -5.75*** |
| γ4 | 0.1725 | 6.27*** |
| γ5 | -0.1267 | -4.24*** |
| γ6 | 0.0763 | 2.58*** |
| γ7 | -0.0361 | -1.23 |
| γ8 | 0.0372 | 1.21 |
| γ9 | -0.0425 | -1.70* |
Persistence:
0.905
Half-life:
7 days
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