Coca-Cola Co/The Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Monday, October 26th, 2026
1 Day
22.56%
increased by 2.38%
1 Week
22.15%
increased by 1.97%
1 Month
20.86%
increased by 0.68%
Analysis last updated: Friday, October 23, 2026 at 11:27 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Oct 23, 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 17 trading days.
τ
Zero Slope Spline-GARCH Model
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Time-varying baseline: volatility reverts to a slowly-shifting spline trend
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.3266 | 7.32*** |
| αARCH | 0.0682 | 6.35*** |
| βGARCH | 0.8919 | 55.22*** |
Spline Coefficients
K=8
| γ1 | 0.0224 | 0.79 |
| γ2 | -0.0025 | -0.06 |
| γ3 | -0.0936 | -3.43*** |
| γ4 | 0.1498 | 5.89*** |
| γ5 | -0.1206 | -4.37*** |
| γ6 | 0.0851 | 2.53** |
| γ7 | -0.0705 | -1.65* |
| γ8 | 0.0393 | 1.15 |
0.960
Persistence17d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.3266 | 7.32*** |
α ARCH Response to squared shocks | 0.0682 | 6.35*** |
β GARCH Volatility persistence | 0.8919 | 55.22*** |
Spline Coefficients
K=8
| γ1 | 0.0224 | 0.79 |
| γ2 | -0.0025 | -0.06 |
| γ3 | -0.0936 | -3.43*** |
| γ4 | 0.1498 | 5.89*** |
| γ5 | -0.1206 | -4.37*** |
| γ6 | 0.0851 | 2.53** |
| γ7 | -0.0705 | -1.65* |
| γ8 | 0.0393 | 1.15 |
Persistence:
0.960
Half-life:
17 days
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