V-Lab
Huron Consulting Group Inc Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Monday, October 5th, 2026
1 Day
54.13%
decreased by 2.30%
1 Week
50.84%
decreased by 5.59%
1 Month
47.76%
decreased by 8.67%
Analysis last updated: Friday, October 2, 2026 at 10:38 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Oct 13, 2004 to Oct 2, 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 2 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 | 1.5865 | 9.88*** |
| αARCH | 0.1289 | 4.17*** |
| βGARCH | 0.5674 | 7.42*** |
Spline Coefficients
K=9
| γ1 | 0.4280 | 4.97*** |
| γ2 | -0.6487 | -4.48*** |
| γ3 | 0.2226 | 1.87* |
| γ4 | 0.1303 | 0.94 |
| γ5 | -0.2496 | -1.42 |
| γ6 | 0.2171 | 1.20 |
| γ7 | -0.1923 | -1.20 |
| γ8 | 0.1896 | 1.21 |
| γ9 | -0.1501 | -1.24 |
0.696
Persistence2d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.5865 | 9.88*** |
α ARCH Response to squared shocks | 0.1289 | 4.17*** |
β GARCH Volatility persistence | 0.5674 | 7.42*** |
Spline Coefficients
K=9
| γ1 | 0.4280 | 4.97*** |
| γ2 | -0.6487 | -4.48*** |
| γ3 | 0.2226 | 1.87* |
| γ4 | 0.1303 | 0.94 |
| γ5 | -0.2496 | -1.42 |
| γ6 | 0.2171 | 1.20 |
| γ7 | -0.1923 | -1.20 |
| γ8 | 0.1896 | 1.21 |
| γ9 | -0.1501 | -1.24 |
Persistence:
0.696
Half-life:
2 days
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