V-Lab
Camtek Ltd Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Sunday, September 13th, 2026
1 Day
61.65%
decreased by 1.37%
1 Week
61.90%
decreased by 1.12%
1 Month
62.46%
decreased by 0.56%
Analysis last updated: Friday, September 11, 2026 at 07:53 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 18, 2006 to Sep 10, 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 7 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 | 1.1144 | 4.84*** |
| αARCH | 0.0583 | 4.35*** |
| βGARCH | 0.8531 | 22.74*** |
Spline Coefficients
K=10
| γ1 | 0.0521 | 0.53 |
| γ2 | -0.2337 | -1.32 |
| γ3 | 0.4428 | 2.60*** |
| γ4 | -0.4998 | -2.80*** |
| γ5 | 0.3677 | 2.19** |
| γ6 | -0.1294 | -0.83 |
| γ7 | 0.0050 | 0.03 |
| γ8 | -0.0615 | -0.53 |
| γ9 | 0.1686 | 1.82* |
| γ10 | -0.1881 | -2.93*** |
0.911
Persistence7d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.1144 | 4.84*** |
α ARCH Response to squared shocks | 0.0583 | 4.35*** |
β GARCH Volatility persistence | 0.8531 | 22.74*** |
Spline Coefficients
K=10
| γ1 | 0.0521 | 0.53 |
| γ2 | -0.2337 | -1.32 |
| γ3 | 0.4428 | 2.60*** |
| γ4 | -0.4998 | -2.80*** |
| γ5 | 0.3677 | 2.19** |
| γ6 | -0.1294 | -0.83 |
| γ7 | 0.0050 | 0.03 |
| γ8 | -0.0615 | -0.53 |
| γ9 | 0.1686 | 1.82* |
| γ10 | -0.1881 | -2.93*** |
Persistence:
0.911
Half-life:
7 days
Other Camtek Ltd Analyses
Other Zero Slope Spline-GARCH Analyses on International Equities