Grab Holdings Limited Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Monday, July 13th, 2026
1 Day
36.92%
decreased by 1.48%
1 Week
37.44%
decreased by 0.96%
1 Month
38.68%
increased by 0.28%
Analysis last updated: Friday, July 10, 2026 at 10:06 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Oct 1, 2020 to Jul 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 8 trading days.
τ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.3885 | 1.25 |
α ARCH Response to squared shocks | 0.1164 | 3.31*** |
β GARCH Volatility persistence | 0.8020 | 9.03*** |
Spline Coefficients
K=10
| γ1 | -13.0865 | -1.47 |
| γ2 | 24.2747 | 2.08** |
| γ3 | -21.1944 | -4.41*** |
| γ4 | 13.6646 | 2.99*** |
| γ5 | -4.7306 | -1.10 |
| γ6 | -0.4331 | -0.12 |
| γ7 | 8.2915 | 2.54** |
| γ8 | -13.0844 | -3.61*** |
| γ9 | 8.1845 | 2.13** |
| γ10 | -1.8083 | -0.70 |
Persistence:
0.918
Half-life:
8 days
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