V-Lab
Netflix Inc Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Monday, September 14th, 2026
1 Day
30.83%
decreased by 0.07%
1 Week
31.04%
increased by 0.14%
1 Month
31.21%
increased by 0.31%
Analysis last updated: Friday, September 11, 2026 at 11:16 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 23, 2002 to Sep 11, 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
Tap to view equation
Time-varying baseline: volatility reverts to a slowly-shifting spline trend
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.5655 | 5.71*** |
| αARCH | 0.0948 | 4.27*** |
| βGARCH | 0.5853 | 7.33*** |
Spline Coefficients
K=9
| γ1 | -0.1121 | -0.92 |
| γ2 | 0.2189 | 1.26 |
| γ3 | -0.0925 | -0.88 |
| γ4 | -0.0982 | -0.90 |
| γ5 | 0.1068 | 1.04 |
| γ6 | -0.0014 | -0.02 |
| γ7 | 0.0297 | 0.35 |
| γ8 | -0.1681 | -1.65* |
| γ9 | 0.1855 | 2.12** |
0.680
Persistence2d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.5655 | 5.71*** |
α ARCH Response to squared shocks | 0.0948 | 4.27*** |
β GARCH Volatility persistence | 0.5853 | 7.33*** |
Spline Coefficients
K=9
| γ1 | -0.1121 | -0.92 |
| γ2 | 0.2189 | 1.26 |
| γ3 | -0.0925 | -0.88 |
| γ4 | -0.0982 | -0.90 |
| γ5 | 0.1068 | 1.04 |
| γ6 | -0.0014 | -0.02 |
| γ7 | 0.0297 | 0.35 |
| γ8 | -0.1681 | -1.65* |
| γ9 | 0.1855 | 2.12** |
Persistence:
0.680
Half-life:
2 days
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