V-Lab
BXP Inc Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Friday, October 2nd, 2026
1 Day
27.91%
increased by 0.07%
1 Week
28.96%
increased by 1.12%
1 Month
31.81%
increased by 3.97%
Analysis last updated: Thursday, October 1, 2026 at 11:05 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jun 18, 1997 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 13 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 | 0.8803 | 5.28*** |
| αARCH | 0.1084 | 8.41*** |
| βGARCH | 0.8402 | 47.65*** |
Spline Coefficients
K=9
| γ1 | -0.0163 | -0.22 |
| γ2 | 0.0470 | 0.43 |
| γ3 | 0.0898 | 1.21 |
| γ4 | -0.3620 | -4.44*** |
| γ5 | 0.3968 | 5.15*** |
| γ6 | -0.2069 | -3.30*** |
| γ7 | 0.1312 | 2.48** |
| γ8 | -0.1440 | -2.94*** |
| γ9 | 0.0687 | 1.85* |
0.949
Persistence13d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.8803 | 5.28*** |
α ARCH Response to squared shocks | 0.1084 | 8.41*** |
β GARCH Volatility persistence | 0.8402 | 47.65*** |
Spline Coefficients
K=9
| γ1 | -0.0163 | -0.22 |
| γ2 | 0.0470 | 0.43 |
| γ3 | 0.0898 | 1.21 |
| γ4 | -0.3620 | -4.44*** |
| γ5 | 0.3968 | 5.15*** |
| γ6 | -0.2069 | -3.30*** |
| γ7 | 0.1312 | 2.48** |
| γ8 | -0.1440 | -2.94*** |
| γ9 | 0.0687 | 1.85* |
Persistence:
0.949
Half-life:
13 days
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