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V-Lab

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

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

All

graph of XTB S A S0GARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Mar 4, 2021 to Jul 10, 2026

Model 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

ParameterValuet-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***
γi Spline Coefficients
K=2
γ10.1959
2.18**
γ2-0.2654
-2.61***

Persistence:

0.683

Half-life:

2 days