V-Lab
Monotaro Co Ltd Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Friday, July 24th, 2026
1 Day
36.19%
decreased by 1.41%
1 Week
37.76%
increased by 0.16%
1 Month
39.31%
increased by 1.71%
Analysis last updated: Friday, July 24, 2026 at 07:19 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Dec 6, 2006 to Jul 17, 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 2 trading days.
τ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.3051 | 16.49*** |
α ARCH Response to squared shocks | 0.1091 | 5.50*** |
β GARCH Volatility persistence | 0.6279 | 9.81*** |
Spline Coefficients
K=1
| γ1 | 0.0020 | 5.59*** |
Persistence:
0.737
Half-life:
2 days
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