V-Lab
International Business Machines Corp Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Monday, September 14th, 2026
1 Day
36.59%
increased by 3.24%
1 Week
36.50%
increased by 3.15%
1 Month
36.26%
increased by 2.91%
Analysis last updated: Saturday, September 12, 2026 at 12:12 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Sep 11, 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 11 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 | 0.7232 | 6.10*** |
| αARCH | 0.0806 | 7.61*** |
| βGARCH | 0.8600 | 40.38*** |
Spline Coefficients
K=9
| γ1 | -0.0534 | -1.51 |
| γ2 | 0.0958 | 1.86* |
| γ3 | -0.1362 | -3.57*** |
| γ4 | 0.1626 | 4.22*** |
| γ5 | -0.0816 | -2.05** |
| γ6 | 0.0217 | 0.48 |
| γ7 | -0.0113 | -0.23 |
| γ8 | 0.0177 | 0.34 |
| γ9 | -0.0338 | -0.82 |
0.941
Persistence11d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.7232 | 6.10*** |
α ARCH Response to squared shocks | 0.0806 | 7.61*** |
β GARCH Volatility persistence | 0.8600 | 40.38*** |
Spline Coefficients
K=9
| γ1 | -0.0534 | -1.51 |
| γ2 | 0.0958 | 1.86* |
| γ3 | -0.1362 | -3.57*** |
| γ4 | 0.1626 | 4.22*** |
| γ5 | -0.0816 | -2.05** |
| γ6 | 0.0217 | 0.48 |
| γ7 | -0.0113 | -0.23 |
| γ8 | 0.0177 | 0.34 |
| γ9 | -0.0338 | -0.82 |
Persistence:
0.941
Half-life:
11 days
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