Centiel AG Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Thursday, October 22nd, 2026
1 Day
74.75%
decreased by 0.97%
1 Week
79.24%
increased by 3.52%
1 Month
88.95%
increased by 13.23%
Analysis last updated: Thursday, October 22, 2026 at 08:51 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Aug 29, 2006 to Oct 16, 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 | 0.7024 | 3.87*** |
| αARCH | 0.1261 | 7.18*** |
| βGARCH | 0.7881 | 22.29*** |
Spline Coefficients
K=9
| γ1 | 0.1424 | 0.59 |
| γ2 | -0.4859 | -1.40 |
| γ3 | 0.7770 | 3.67*** |
| γ4 | -0.6872 | -2.87*** |
| γ5 | 0.5302 | 2.14** |
| γ6 | -0.6613 | -2.82*** |
| γ7 | 0.7482 | 3.82*** |
| γ8 | -0.4916 | -3.51*** |
| γ9 | 0.0781 | 0.84 |
0.914
Persistence8d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.7024 | 3.87*** |
α ARCH Response to squared shocks | 0.1261 | 7.18*** |
β GARCH Volatility persistence | 0.7881 | 22.29*** |
Spline Coefficients
K=9
| γ1 | 0.1424 | 0.59 |
| γ2 | -0.4859 | -1.40 |
| γ3 | 0.7770 | 3.67*** |
| γ4 | -0.6872 | -2.87*** |
| γ5 | 0.5302 | 2.14** |
| γ6 | -0.6613 | -2.82*** |
| γ7 | 0.7482 | 3.82*** |
| γ8 | -0.4916 | -3.51*** |
| γ9 | 0.0781 | 0.84 |
Persistence:
0.914
Half-life:
8 days
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