V-Lab
Allurion Technologies Inc Spline-GARCH Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Monday, September 14th, 2026
1 Day
124.72%
decreased by 14.46%
1 Week
130.62%
decreased by 8.56%
1 Month
151.93%
increased by 12.75%
Analysis last updated: Saturday, September 12, 2026 at 09:25 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Feb 5, 2021 to Sep 11, 2026Model Insight
With persistence 1.000, volatility shocks have a half-life of 11950 trading days (~47.4 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
τ
Spline-GARCH Model
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High persistence: persistence 1.000, shock half-life ~11950 days
| Param | Value | t-stat |
|---|---|---|
| ωconst | 2.9464 | 0.53 |
| αARCH | 0.2742 | 0.40 |
| βGARCH | 0.7258 | 1.07 |
Spline Coefficients
K=10
| γ1 | -3.5856 | -0.16 |
| γ2 | 6.6823 | 0.26 |
| γ3 | -15.5794 | -1.35 |
| γ4 | 53.0020 | 1.97** |
| γ5 | -74.3597 | -1.94* |
| γ6 | 43.5181 | 1.41 |
| γ7 | -12.1398 | -0.66 |
| γ8 | -3.3218 | -0.30 |
| γ9 | 18.6859 | 2.25** |
| γ10 | -31.6705 | -2.66*** |
1.000
Persistence11950d
Half-lifeτ
Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 2.9464 | 0.53 |
α ARCH Response to squared shocks | 0.2742 | 0.40 |
β GARCH Volatility persistence | 0.7258 | 1.07 |
Spline Coefficients
K=10
| γ1 | -3.5856 | -0.16 |
| γ2 | 6.6823 | 0.26 |
| γ3 | -15.5794 | -1.35 |
| γ4 | 53.0020 | 1.97** |
| γ5 | -74.3597 | -1.94* |
| γ6 | 43.5181 | 1.41 |
| γ7 | -12.1398 | -0.66 |
| γ8 | -3.3218 | -0.30 |
| γ9 | 18.6859 | 2.25** |
| γ10 | -31.6705 | -2.66*** |
Persistence:
1.000
Half-life:
11950 days
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