GCM Corp Ltd Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Monday, October 26th, 2026
1 Day
81.89%
increased by 0.61%
1 Week
83.77%
increased by 2.49%
1 Month
88.35%
increased by 7.07%
Analysis last updated: Sunday, October 25, 2026 at 12:46 AM UTC
Press Delete or Backspace to remove this series.
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 15, 2007 to Oct 23, 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 9 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 | 1.1631 | 5.98*** |
| αARCH | 0.0456 | 3.76*** |
| βGARCH | 0.8811 | 22.58*** |
Spline Coefficients
K=10
| γ1 | 0.3352 | 0.91 |
| γ2 | -0.1759 | -0.30 |
| γ3 | -0.6498 | -1.61 |
| γ4 | 1.0191 | 2.74*** |
| γ5 | -0.5851 | -1.14 |
| γ6 | -0.4463 | -0.63 |
| γ7 | 0.9792 | 1.70* |
| γ8 | -0.3018 | -0.78 |
| γ9 | -0.8581 | -1.88* |
| γ10 | 1.0584 | 2.95*** |
0.927
Persistence9d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.1631 | 5.98*** |
α ARCH Response to squared shocks | 0.0456 | 3.76*** |
β GARCH Volatility persistence | 0.8811 | 22.58*** |
Spline Coefficients
K=10
| γ1 | 0.3352 | 0.91 |
| γ2 | -0.1759 | -0.30 |
| γ3 | -0.6498 | -1.61 |
| γ4 | 1.0191 | 2.74*** |
| γ5 | -0.5851 | -1.14 |
| γ6 | -0.4463 | -0.63 |
| γ7 | 0.9792 | 1.70* |
| γ8 | -0.3018 | -0.78 |
| γ9 | -0.8581 | -1.88* |
| γ10 | 1.0584 | 2.95*** |
Persistence:
0.927
Half-life:
9 days
Other GCM Corp Ltd Analyses
Other Zero Slope Spline-GARCH Analyses on International Equities