V-Lab
NSI NV Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Thursday, October 1st, 2026
1 Day
21.01%
increased by 5.65%
1 Week
21.02%
increased by 5.66%
1 Month
21.03%
increased by 5.67%
Analysis last updated: Thursday, October 1, 2026 at 09:33 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Apr 3, 1998 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. Short-run deviations decay with a half-life of 5 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 | 1.0145 | 4.18*** |
| αARCH | 0.1651 | 9.18*** |
| βGARCH | 0.7027 | 22.55*** |
Spline Coefficients
K=10
| γ1 | -0.0008 | -0.01 |
| γ2 | -0.0321 | -0.23 |
| γ3 | 0.2485 | 3.04*** |
| γ4 | -0.4507 | -5.65*** |
| γ5 | 0.3949 | 5.32*** |
| γ6 | -0.3292 | -3.79*** |
| γ7 | 0.2487 | 2.71*** |
| γ8 | 0.0102 | 0.13 |
| γ9 | -0.2297 | -3.86*** |
| γ10 | 0.1999 | 4.73*** |
0.868
Persistence5d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.0145 | 4.18*** |
α ARCH Response to squared shocks | 0.1651 | 9.18*** |
β GARCH Volatility persistence | 0.7027 | 22.55*** |
Spline Coefficients
K=10
| γ1 | -0.0008 | -0.01 |
| γ2 | -0.0321 | -0.23 |
| γ3 | 0.2485 | 3.04*** |
| γ4 | -0.4507 | -5.65*** |
| γ5 | 0.3949 | 5.32*** |
| γ6 | -0.3292 | -3.79*** |
| γ7 | 0.2487 | 2.71*** |
| γ8 | 0.0102 | 0.13 |
| γ9 | -0.2297 | -3.86*** |
| γ10 | 0.1999 | 4.73*** |
Persistence:
0.868
Half-life:
5 days
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