V-Lab
MBIA Inc Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Monday, September 21st, 2026
1 Day
48.40%
increased by 0.93%
1 Week
50.29%
increased by 2.82%
1 Month
56.38%
increased by 8.91%
Analysis last updated: Friday, September 18, 2026 at 11:38 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Sep 18, 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 33 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 | 1.0985 | 4.63*** |
| αARCH | 0.0714 | 6.42*** |
| βGARCH | 0.9075 | 70.35*** |
Spline Coefficients
K=8
| γ1 | 0.0492 | 1.50 |
| γ2 | -0.0139 | -0.28 |
| γ3 | -0.0988 | -2.90*** |
| γ4 | 0.1764 | 5.00*** |
| γ5 | -0.2351 | -5.72*** |
| γ6 | 0.1807 | 4.10*** |
| γ7 | -0.0550 | -1.45 |
| γ8 | -0.0194 | -0.73 |
0.979
Persistence33d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.0985 | 4.63*** |
α ARCH Response to squared shocks | 0.0714 | 6.42*** |
β GARCH Volatility persistence | 0.9075 | 70.35*** |
Spline Coefficients
K=8
| γ1 | 0.0492 | 1.50 |
| γ2 | -0.0139 | -0.28 |
| γ3 | -0.0988 | -2.90*** |
| γ4 | 0.1764 | 5.00*** |
| γ5 | -0.2351 | -5.72*** |
| γ6 | 0.1807 | 4.10*** |
| γ7 | -0.0550 | -1.45 |
| γ8 | -0.0194 | -0.73 |
Persistence:
0.979
Half-life:
33 days
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