V-Lab
Big Sky Industrial Inc Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Tuesday, October 6th, 2026
1 Day
56.89%
decreased by 0.75%
1 Week
57.95%
increased by 0.31%
1 Month
61.09%
increased by 3.45%
Analysis last updated: Monday, October 5, 2026 at 09:16 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 1990 to Oct 2, 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 16 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 | 0.7673 | 7.59*** |
| αARCH | 0.1062 | 7.62*** |
| βGARCH | 0.8524 | 44.25*** |
Spline Coefficients
K=7
| γ1 | -0.0041 | -0.22 |
| γ2 | -0.0321 | -1.02 |
| γ3 | 0.0706 | 2.19** |
| γ4 | -0.0516 | -1.31 |
| γ5 | 0.0468 | 1.41 |
| γ6 | -0.0756 | -2.93*** |
| γ7 | 0.0687 | 3.30*** |
0.959
Persistence16d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.7673 | 7.59*** |
α ARCH Response to squared shocks | 0.1062 | 7.62*** |
β GARCH Volatility persistence | 0.8524 | 44.25*** |
Spline Coefficients
K=7
| γ1 | -0.0041 | -0.22 |
| γ2 | -0.0321 | -1.02 |
| γ3 | 0.0706 | 2.19** |
| γ4 | -0.0516 | -1.31 |
| γ5 | 0.0468 | 1.41 |
| γ6 | -0.0756 | -2.93*** |
| γ7 | 0.0687 | 3.30*** |
Persistence:
0.959
Half-life:
16 days
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