V-Lab
Avanza Bank Holding AB Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Tuesday, September 15th, 2026
1 Day
30.41%
increased by 2.31%
1 Week
29.86%
increased by 1.76%
1 Month
29.57%
increased by 1.47%
Analysis last updated: Wednesday, September 16, 2026 at 08:51 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Mar 7, 2025 to Sep 14, 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 1 trading day.
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 | 1.1149 | 2.14** |
| αARCH | 0.1963 | 2.33** |
| βGARCH | 0.3234 | 1.28 |
Spline Coefficients
K=4
| γ1 | -4.0312 | -0.27 |
| γ2 | 31.8692 | 1.56 |
| γ3 | -60.2321 | -6.14*** |
| γ4 | 45.5379 | 8.06*** |
0.520
Persistence1d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.1149 | 2.14** |
α ARCH Response to squared shocks | 0.1963 | 2.33** |
β GARCH Volatility persistence | 0.3234 | 1.28 |
Spline Coefficients
K=4
| γ1 | -4.0312 | -0.27 |
| γ2 | 31.8692 | 1.56 |
| γ3 | -60.2321 | -6.14*** |
| γ4 | 45.5379 | 8.06*** |
Persistence:
0.520
Half-life:
1 days
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