E.ON SE Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Thursday, October 22nd, 2026
1 Day
24.43%
decreased by 0.57%
1 Week
24.32%
decreased by 0.68%
1 Month
23.99%
decreased by 1.01%
Analysis last updated: Thursday, October 22, 2026 at 06:42 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 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 15 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 | 1.4065 | 4.51*** |
| αARCH | 0.0891 | 8.91*** |
| βGARCH | 0.8652 | 56.16*** |
Spline Coefficients
K=6
| γ1 | 0.0857 | 5.44*** |
| γ2 | -0.1359 | -6.06*** |
| γ3 | 0.0822 | 5.37*** |
| γ4 | -0.0513 | -3.67*** |
| γ5 | 0.0242 | 1.85* |
| γ6 | -0.0034 | -0.35 |
0.954
Persistence15d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.4065 | 4.51*** |
α ARCH Response to squared shocks | 0.0891 | 8.91*** |
β GARCH Volatility persistence | 0.8652 | 56.16*** |
Spline Coefficients
K=6
| γ1 | 0.0857 | 5.44*** |
| γ2 | -0.1359 | -6.06*** |
| γ3 | 0.0822 | 5.37*** |
| γ4 | -0.0513 | -3.67*** |
| γ5 | 0.0242 | 1.85* |
| γ6 | -0.0034 | -0.35 |
Persistence:
0.954
Half-life:
15 days
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