V-Lab
Paysafe Group Ltd Zero Slope Spline-GARCH Volatility Analysis
Inactive
Last recorded values (Thursday, December 21st, 2017):
1 Day
4.01%
1 Week
4.45%
1 Month
5.72%
Analysis last updated: Wednesday, December 20, 2017 at 05:20 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Apr 13, 2004 to Dec 15, 2017Model 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 29 trading days.
τ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.3672 | 2.07** |
α ARCH Response to squared shocks | 0.2086 | 6.56*** |
β GARCH Volatility persistence | 0.7680 | 22.19*** |
Spline Coefficients
K=8
| γ1 | -0.1331 | -0.24 |
| γ2 | -0.0334 | -0.03 |
| γ3 | 0.1394 | 0.18 |
| γ4 | 0.0153 | 0.03 |
| γ5 | 0.1800 | 0.47 |
| γ6 | 0.0566 | 0.13 |
| γ7 | -1.4916 | -3.19*** |
| γ8 | 2.2251 | 6.87*** |
Persistence:
0.977
Half-life:
29 days
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