V-Lab
Netflix Inc Spline-GARCH Volatility Analysis
Volatility prediction for Monday, September 14th, 2026
1 Day
41.35%
decreased by 0.02%
1 Week
42.80%
increased by 1.43%
1 Month
43.90%
increased by 2.53%
Analysis last updated: Friday, September 11, 2026 at 11:17 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
Spline-GARCH Model
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Time-varying baseline: volatility reverts to a slowly-shifting spline trend
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.5462 | 5.74*** |
| αARCH | 0.0977 | 4.34*** |
| βGARCH | 0.5659 | 6.73*** |
Spline Coefficients
K=9
| γ1 | -0.1240 | -1.04 |
| γ2 | 0.2376 | 1.39 |
| γ3 | -0.1025 | -0.98 |
| γ4 | -0.0965 | -0.89 |
| γ5 | 0.1141 | 1.12 |
| γ6 | -0.0198 | -0.23 |
| γ7 | 0.0693 | 0.77 |
| γ8 | -0.2623 | -2.16** |
| γ9 | 0.4452 | 2.56** |
0.664
Persistence2d
Half-lifeτ
Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.5462 | 5.74*** |
α ARCH Response to squared shocks | 0.0977 | 4.34*** |
β GARCH Volatility persistence | 0.5659 | 6.73*** |
Spline Coefficients
K=9
| γ1 | -0.1240 | -1.04 |
| γ2 | 0.2376 | 1.39 |
| γ3 | -0.1025 | -0.98 |
| γ4 | -0.0965 | -0.89 |
| γ5 | 0.1141 | 1.12 |
| γ6 | -0.0198 | -0.23 |
| γ7 | 0.0693 | 0.77 |
| γ8 | -0.2623 | -2.16** |
| γ9 | 0.4452 | 2.56** |
Persistence:
0.664
Half-life:
2 days
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