Nodestream Ltd Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Thursday, October 29th, 2026
1 Day
181.89%
decreased by 27.38%
1 Week
168.12%
decreased by 41.15%
1 Month
151.90%
decreased by 57.37%
Analysis last updated: Thursday, October 29, 2026 at 08:48 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 12, 2016 to Oct 23, 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 | 0.8691 | 6.83*** |
| αARCH | 0.1127 | 4.11*** |
| βGARCH | 0.6370 | 6.69*** |
Spline Coefficients
K=6
| γ1 | -0.0876 | -0.30 |
| γ2 | -0.2623 | -0.59 |
| γ3 | 0.8738 | 3.23*** |
| γ4 | -0.7430 | -3.04*** |
| γ5 | 0.2718 | 1.01 |
| γ6 | -0.1117 | -0.51 |
0.750
Persistence2d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.8691 | 6.83*** |
α ARCH Response to squared shocks | 0.1127 | 4.11*** |
β GARCH Volatility persistence | 0.6370 | 6.69*** |
Spline Coefficients
K=6
| γ1 | -0.0876 | -0.30 |
| γ2 | -0.2623 | -0.59 |
| γ3 | 0.8738 | 3.23*** |
| γ4 | -0.7430 | -3.04*** |
| γ5 | 0.2718 | 1.01 |
| γ6 | -0.1117 | -0.51 |
Persistence:
0.750
Half-life:
2 days
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