V-Lab
Investeringsselskabet af 3. november 2025 A/S Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Tuesday, August 11th, 2026
1 Day
54.39%
decreased by 3.58%
1 Week
54.31%
decreased by 3.66%
1 Month
54.21%
decreased by 3.76%
Analysis last updated: Tuesday, August 11, 2026 at 06:41 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Mar 21, 1991 to Aug 7, 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 3 trading days.
τ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.5620 | 2.61*** |
α ARCH Response to squared shocks | 0.2047 | 5.14*** |
β GARCH Volatility persistence | 0.5666 | 7.30*** |
Spline Coefficients
K=10
| γ1 | 0.2580 | 1.94* |
| γ2 | -0.3159 | -1.85* |
| γ3 | 0.0131 | 0.16 |
| γ4 | 0.2307 | 2.71*** |
| γ5 | -0.3865 | -4.06*** |
| γ6 | 0.2432 | 2.86*** |
| γ7 | -0.0442 | -0.44 |
| γ8 | 0.0297 | 0.22 |
| γ9 | 0.0065 | 0.05 |
| γ10 | -0.0735 | -0.67 |
Persistence:
0.771
Half-life:
3 days
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