V-Lab
Navi Imobiliario Total Return FII Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Thursday, October 1st, 2026
1 Day
22.97%
decreased by 1.21%
1 Week
24.34%
increased by 0.16%
1 Month
24.65%
increased by 0.47%
Analysis last updated: Thursday, October 1, 2026 at 10:24 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Apr 26, 2021 to Sep 25, 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.
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 | 0.9334 | 5.01*** |
| αARCH | 0.1415 | 3.23*** |
| βGARCH | 0.0000 | 0.00 |
Spline Coefficients
K=10
| γ1 | -1.9499 | -0.67 |
| γ2 | -1.0988 | -0.24 |
| γ3 | 6.4056 | 1.87* |
| γ4 | -2.1613 | -0.66 |
| γ5 | -7.8725 | -2.19** |
| γ6 | 18.7818 | 4.16*** |
| γ7 | -24.2595 | -4.57*** |
| γ8 | 16.3739 | 4.25*** |
| γ9 | -1.8611 | -0.61 |
| γ10 | -3.9608 | -1.56 |
0.141
Persistence0d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.9334 | 5.01*** |
α ARCH Response to squared shocks | 0.1415 | 3.23*** |
β GARCH Volatility persistence | 0.0000 | 0.00 |
Spline Coefficients
K=10
| γ1 | -1.9499 | -0.67 |
| γ2 | -1.0988 | -0.24 |
| γ3 | 6.4056 | 1.87* |
| γ4 | -2.1613 | -0.66 |
| γ5 | -7.8725 | -2.19** |
| γ6 | 18.7818 | 4.16*** |
| γ7 | -24.2595 | -4.57*** |
| γ8 | 16.3739 | 4.25*** |
| γ9 | -1.8611 | -0.61 |
| γ10 | -3.9608 | -1.56 |
Persistence:
0.141
Half-life:
0 days
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