V-Lab
HeidelbergCement AG Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Friday, September 18th, 2026
1 Day
32.23%
increased by 0.98%
1 Week
32.56%
increased by 1.31%
1 Month
33.60%
increased by 2.35%
Analysis last updated: Friday, September 18, 2026 at 07:09 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Sep 14, 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 20 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 | 1.4943 | 3.72*** |
| αARCH | 0.0878 | 9.04*** |
| βGARCH | 0.8786 | 71.88*** |
Spline Coefficients
K=8
| γ1 | 0.0226 | 0.55 |
| γ2 | 0.0256 | 0.47 |
| γ3 | -0.1189 | -4.16*** |
| γ4 | 0.1383 | 4.65*** |
| γ5 | -0.1262 | -3.87*** |
| γ6 | 0.0888 | 2.86*** |
| γ7 | -0.0238 | -0.81 |
| γ8 | -0.0162 | -0.71 |
0.966
Persistence20d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.4943 | 3.72*** |
α ARCH Response to squared shocks | 0.0878 | 9.04*** |
β GARCH Volatility persistence | 0.8786 | 71.88*** |
Spline Coefficients
K=8
| γ1 | 0.0226 | 0.55 |
| γ2 | 0.0256 | 0.47 |
| γ3 | -0.1189 | -4.16*** |
| γ4 | 0.1383 | 4.65*** |
| γ5 | -0.1262 | -3.87*** |
| γ6 | 0.0888 | 2.86*** |
| γ7 | -0.0238 | -0.81 |
| γ8 | -0.0162 | -0.71 |
Persistence:
0.966
Half-life:
20 days
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