V-Lab
Canadian Apartment Properties REIT Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Friday, October 2nd, 2026
1 Day
17.80%
increased by 0.66%
1 Week
18.85%
increased by 1.71%
1 Month
21.17%
increased by 4.03%
Analysis last updated: Friday, October 2, 2026 at 09:02 AM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 21, 1998 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 8 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 | 2.1024 | 4.07*** |
| αARCH | 0.1152 | 7.88*** |
| βGARCH | 0.8022 | 33.76*** |
Spline Coefficients
K=5
| γ1 | 0.1083 | 4.62*** |
| γ2 | -0.1538 | -4.87*** |
| γ3 | 0.0634 | 4.11*** |
| γ4 | -0.0131 | -1.09 |
| γ5 | -0.0120 | -1.36 |
0.917
Persistence8d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 2.1024 | 4.07*** |
α ARCH Response to squared shocks | 0.1152 | 7.88*** |
β GARCH Volatility persistence | 0.8022 | 33.76*** |
Spline Coefficients
K=5
| γ1 | 0.1083 | 4.62*** |
| γ2 | -0.1538 | -4.87*** |
| γ3 | 0.0634 | 4.11*** |
| γ4 | -0.0131 | -1.09 |
| γ5 | -0.0120 | -1.36 |
Persistence:
0.917
Half-life:
8 days
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