Horizon Kinetics JPN QWN OPR Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Wednesday, July 22nd, 2026
1 Day
25.36%
unchanged at 0.00%
1 Week
25.36%
unchanged at 0.00%
1 Month
25.36%
unchanged at 0.00%
Analysis last updated: Tuesday, July 21, 2026 at 09:29 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 13, 2025 to Jul 17, 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
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.9794 | 3.70*** |
α ARCH Response to squared shocks | 0.0000 | 0.00 |
β GARCH Volatility persistence | 0.9375 | 3.82*** |
Spline Coefficients
K=2
| γ1 | 3.8299 | 2.03** |
| γ2 | -5.5030 | -2.50** |
Persistence:
0.937
Half-life:
11 days
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