V-Lab
Trusval Technology Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Friday, September 11th, 2026
1 Day
48.73%
decreased by 7.05%
1 Week
48.43%
decreased by 7.35%
1 Month
47.95%
decreased by 7.83%
Analysis last updated: Friday, September 11, 2026 at 09:54 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 23, 2017 to Sep 4, 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 4 trading days.
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 | 0.6740 | 1.48 |
| αARCH | 0.1931 | 4.04*** |
| βGARCH | 0.6427 | 8.70*** |
Spline Coefficients
K=9
| γ1 | 0.7347 | 0.34 |
| γ2 | -0.6904 | -0.25 |
| γ3 | -0.9670 | -0.78 |
| γ4 | 2.0921 | 1.74* |
| γ5 | -2.8769 | -2.89*** |
| γ6 | 3.8555 | 4.53*** |
| γ7 | -3.5128 | -3.78*** |
| γ8 | 1.5650 | 1.64 |
| γ9 | -0.1251 | -0.18 |
0.836
Persistence4d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.6740 | 1.48 |
α ARCH Response to squared shocks | 0.1931 | 4.04*** |
β GARCH Volatility persistence | 0.6427 | 8.70*** |
Spline Coefficients
K=9
| γ1 | 0.7347 | 0.34 |
| γ2 | -0.6904 | -0.25 |
| γ3 | -0.9670 | -0.78 |
| γ4 | 2.0921 | 1.74* |
| γ5 | -2.8769 | -2.89*** |
| γ6 | 3.8555 | 4.53*** |
| γ7 | -3.5128 | -3.78*** |
| γ8 | 1.5650 | 1.64 |
| γ9 | -0.1251 | -0.18 |
Persistence:
0.836
Half-life:
4 days
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