V-Lab
Niki BioSolutions Inc Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Monday, October 5th, 2026
1 Day
79.36%
increased by 12.38%
1 Week
94.63%
increased by 27.65%
1 Month
126.16%
increased by 59.18%
Analysis last updated: Friday, October 2, 2026 at 10:00 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Dec 18, 2018 to Oct 2, 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 10 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 | 0.9869 | 1.46 |
| αARCH | 0.5017 | 4.17*** |
| βGARCH | 0.4307 | 7.83*** |
Spline Coefficients
K=10
| γ1 | 9.0303 | 1.66* |
| γ2 | -13.9789 | -1.54 |
| γ3 | 4.4318 | 0.76 |
| γ4 | 3.1031 | 0.95 |
| γ5 | -4.6367 | -2.04** |
| γ6 | 4.1085 | 1.35 |
| γ7 | -4.2456 | -1.15 |
| γ8 | 4.3937 | 1.30 |
| γ9 | -5.1412 | -1.53 |
| γ10 | 4.4830 | 1.66* |
0.932
Persistence10d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.9869 | 1.46 |
α ARCH Response to squared shocks | 0.5017 | 4.17*** |
β GARCH Volatility persistence | 0.4307 | 7.83*** |
Spline Coefficients
K=10
| γ1 | 9.0303 | 1.66* |
| γ2 | -13.9789 | -1.54 |
| γ3 | 4.4318 | 0.76 |
| γ4 | 3.1031 | 0.95 |
| γ5 | -4.6367 | -2.04** |
| γ6 | 4.1085 | 1.35 |
| γ7 | -4.2456 | -1.15 |
| γ8 | 4.3937 | 1.30 |
| γ9 | -5.1412 | -1.53 |
| γ10 | 4.4830 | 1.66* |
Persistence:
0.932
Half-life:
10 days
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