V-Lab
Blue Owl Capital Corp Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Tuesday, September 15th, 2026
1 Day
20.16%
decreased by 0.73%
1 Week
23.14%
increased by 2.25%
1 Month
26.47%
increased by 5.58%
Analysis last updated: Monday, September 14, 2026 at 09:54 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jul 18, 2019 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 3 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 | 0.4696 | 4.15*** |
| αARCH | 0.2358 | 4.37*** |
| βGARCH | 0.5561 | 7.26*** |
Spline Coefficients
K=8
| γ1 | -2.7500 | -2.12** |
| γ2 | 2.2061 | 1.21 |
| γ3 | 3.1457 | 3.08*** |
| γ4 | -5.2810 | -5.51*** |
| γ5 | 3.5093 | 3.61*** |
| γ6 | -0.1361 | -0.14 |
| γ7 | -0.8731 | -0.98 |
| γ8 | -0.0985 | -0.16 |
0.792
Persistence3d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.4696 | 4.15*** |
α ARCH Response to squared shocks | 0.2358 | 4.37*** |
β GARCH Volatility persistence | 0.5561 | 7.26*** |
Spline Coefficients
K=8
| γ1 | -2.7500 | -2.12** |
| γ2 | 2.2061 | 1.21 |
| γ3 | 3.1457 | 3.08*** |
| γ4 | -5.2810 | -5.51*** |
| γ5 | 3.5093 | 3.61*** |
| γ6 | -0.1361 | -0.14 |
| γ7 | -0.8731 | -0.98 |
| γ8 | -0.0985 | -0.16 |
Persistence:
0.792
Half-life:
3 days
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