Coil Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Tuesday, July 21st, 2026
1 Day
17.00%
unchanged at 0.00%
1 Week
19.93%
increased by 2.93%
1 Month
24.57%
increased by 7.57%
Analysis last updated: Tuesday, July 21, 2026 at 06:32 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Dec 7, 1999 to Jul 17, 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 5 trading days.
τ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.1281 | 5.76*** |
α ARCH Response to squared shocks | 0.2122 | 6.40*** |
β GARCH Volatility persistence | 0.6628 | 16.27*** |
Spline Coefficients
K=10
| γ1 | -0.0047 | -0.05 |
| γ2 | 0.0162 | 0.11 |
| γ3 | -0.0220 | -0.14 |
| γ4 | 0.0110 | 0.07 |
| γ5 | 0.0228 | 0.17 |
| γ6 | 0.0086 | 0.07 |
| γ7 | -0.2406 | -2.03** |
| γ8 | 0.5050 | 3.77*** |
| γ9 | -0.5488 | -3.61*** |
| γ10 | 0.3665 | 3.05*** |
Persistence:
0.875
Half-life:
5 days
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