V-Lab
FII Grand Plaza Shopping Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Thursday, October 1st, 2026
1 Day
18.71%
decreased by 0.82%
1 Week
21.23%
increased by 1.70%
1 Month
24.01%
increased by 4.48%
Analysis last updated: Thursday, October 1, 2026 at 10:24 PM UTC
Press Delete or Backspace to remove this series.
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Mar 19, 2007 to Sep 25, 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
Time-varying baseline: volatility reverts to a slowly-shifting spline trend
| Param | Value | t-stat |
|---|---|---|
| ωconst | 6.1811 | 4.70*** |
| αARCH | 0.3534 | 4.54*** |
| βGARCH | 0.4334 | 4.72*** |
Spline Coefficients
K=10
| γ1 | 1.2669 | 3.37*** |
| γ2 | -1.2697 | -2.15** |
| γ3 | 0.1124 | 0.28 |
| γ4 | -0.8786 | -2.37** |
| γ5 | 1.7996 | 5.48*** |
| γ6 | -1.6499 | -3.80*** |
| γ7 | 0.7932 | 1.20 |
| γ8 | -0.1742 | -0.26 |
| γ9 | 0.1169 | 0.25 |
| γ10 | -0.1985 | -0.78 |
0.787
Persistence3d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 6.1811 | 4.70*** |
α ARCH Response to squared shocks | 0.3534 | 4.54*** |
β GARCH Volatility persistence | 0.4334 | 4.72*** |
Spline Coefficients
K=10
| γ1 | 1.2669 | 3.37*** |
| γ2 | -1.2697 | -2.15** |
| γ3 | 0.1124 | 0.28 |
| γ4 | -0.8786 | -2.37** |
| γ5 | 1.7996 | 5.48*** |
| γ6 | -1.6499 | -3.80*** |
| γ7 | 0.7932 | 1.20 |
| γ8 | -0.1742 | -0.26 |
| γ9 | 0.1169 | 0.25 |
| γ10 | -0.1985 | -0.78 |
Persistence:
0.787
Half-life:
3 days
Other FII Grand Plaza Shopping Analyses
Other Zero Slope Spline-GARCH Analyses on Real Estate