MacroGenics Inc Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Thursday, October 22nd, 2026
1 Day
75.97%
decreased by 1.87%
1 Week
79.74%
increased by 1.90%
1 Month
82.87%
increased by 5.03%
Analysis last updated: Wednesday, October 21, 2026 at 09:20 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Oct 10, 2013 to Oct 16, 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
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Time-varying baseline: volatility reverts to a slowly-shifting spline trend
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.8125 | 7.23*** |
| αARCH | 0.1478 | 3.71*** |
| βGARCH | 0.5452 | 6.20*** |
Spline Coefficients
K=8
| γ1 | 0.1319 | 0.59 |
| γ2 | -0.3925 | -1.15 |
| γ3 | 0.7464 | 2.76*** |
| γ4 | -1.0037 | -2.70*** |
| γ5 | 0.8651 | 1.98** |
| γ6 | -0.4631 | -1.20 |
| γ7 | 0.0413 | 0.11 |
| γ8 | 0.1259 | 0.43 |
0.693
Persistence2d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.8125 | 7.23*** |
α ARCH Response to squared shocks | 0.1478 | 3.71*** |
β GARCH Volatility persistence | 0.5452 | 6.20*** |
Spline Coefficients
K=8
| γ1 | 0.1319 | 0.59 |
| γ2 | -0.3925 | -1.15 |
| γ3 | 0.7464 | 2.76*** |
| γ4 | -1.0037 | -2.70*** |
| γ5 | 0.8651 | 1.98** |
| γ6 | -0.4631 | -1.20 |
| γ7 | 0.0413 | 0.11 |
| γ8 | 0.1259 | 0.43 |
Persistence:
0.693
Half-life:
2 days
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