V-Lab
BASF SE Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Tuesday, September 15th, 2026
1 Day
25.53%
decreased by 0.29%
1 Week
25.98%
increased by 0.16%
1 Month
27.40%
increased by 1.58%
Analysis last updated: Wednesday, September 16, 2026 at 05:56 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Sep 14, 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 22 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 | 1.1137 | 5.65*** |
| αARCH | 0.0681 | 8.23*** |
| βGARCH | 0.9004 | 79.27*** |
Spline Coefficients
K=6
| γ1 | 0.0455 | 2.90*** |
| γ2 | -0.0837 | -3.57*** |
| γ3 | 0.0682 | 4.69*** |
| γ4 | -0.0500 | -4.19*** |
| γ5 | 0.0380 | 3.22*** |
| γ6 | -0.0273 | -3.26*** |
0.969
Persistence22d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.1137 | 5.65*** |
α ARCH Response to squared shocks | 0.0681 | 8.23*** |
β GARCH Volatility persistence | 0.9004 | 79.27*** |
Spline Coefficients
K=6
| γ1 | 0.0455 | 2.90*** |
| γ2 | -0.0837 | -3.57*** |
| γ3 | 0.0682 | 4.69*** |
| γ4 | -0.0500 | -4.19*** |
| γ5 | 0.0380 | 3.22*** |
| γ6 | -0.0273 | -3.26*** |
Persistence:
0.969
Half-life:
22 days
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