XTB S A Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Monday, July 13th, 2026
1 Day
61.46%
decreased by 2.39%
1 Week
60.63%
decreased by 3.22%
1 Month
59.93%
decreased by 3.92%
Analysis last updated: Saturday, July 11, 2026 at 08:12 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Mar 4, 2021 to Jul 10, 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 | 1.1606 | 3.33*** |
α ARCH Response to squared shocks | 0.0543 | 1.96** |
β GARCH Volatility persistence | 0.6292 | 2.93*** |
Spline Coefficients
K=2
| γ1 | 0.1959 | 2.18** |
| γ2 | -0.2654 | -2.61*** |
Persistence:
0.683
Half-life:
2 days
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