Nitta Corp Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Thursday, October 22nd, 2026
1 Day
36.99%
decreased by 3.28%
1 Week
35.20%
decreased by 5.07%
1 Month
30.28%
decreased by 9.99%
Analysis last updated: Thursday, October 22, 2026 at 07:33 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 20, 1995 to Oct 16, 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 9 trading days.
τ
Zero Slope Spline-GARCH Model
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Time-varying baseline: volatility reverts to a slowly-shifting spline trend
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.2629 | 2.85*** |
| αARCH | 0.1153 | 7.06*** |
| βGARCH | 0.8083 | 32.46*** |
Spline Coefficients
K=8
| γ1 | 0.0364 | 0.52 |
| γ2 | -0.1058 | -1.14 |
| γ3 | 0.1578 | 3.77*** |
| γ4 | -0.1599 | -4.56*** |
| γ5 | 0.1051 | 3.24*** |
| γ6 | -0.0378 | -1.23 |
| γ7 | -0.0104 | -0.33 |
| γ8 | 0.0305 | 1.24 |
0.924
Persistence9d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.2629 | 2.85*** |
α ARCH Response to squared shocks | 0.1153 | 7.06*** |
β GARCH Volatility persistence | 0.8083 | 32.46*** |
Spline Coefficients
K=8
| γ1 | 0.0364 | 0.52 |
| γ2 | -0.1058 | -1.14 |
| γ3 | 0.1578 | 3.77*** |
| γ4 | -0.1599 | -4.56*** |
| γ5 | 0.1051 | 3.24*** |
| γ6 | -0.0378 | -1.23 |
| γ7 | -0.0104 | -0.33 |
| γ8 | 0.0305 | 1.24 |
Persistence:
0.924
Half-life:
9 days
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