V-Lab
GMO TECH Holdings Inc Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
29.77%
increased by 0.37%
1 Week
29.04%
decreased by 0.36%
1 Month
28.14%
decreased by 1.26%
Analysis last updated: Sunday, July 26, 2026 at 02:13 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Oct 1, 2025 to Jul 24, 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 | 0.9130 | 3.44*** |
α ARCH Response to squared shocks | 0.1028 | 1.87* |
β GARCH Volatility persistence | 0.6754 | 3.75*** |
Spline Coefficients
K=1
| γ1 | 0.1669 | 0.17 |
Persistence:
0.778
Half-life:
3 days
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