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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

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of Paysafe Group Ltd S0GARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Apr 13, 2004 to Dec 15, 2017

Model 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

ParameterValuet-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***
γi Spline Coefficients
K=8
γ1-0.1331
-0.24
γ2-0.0334
-0.03
γ30.1394
0.18
γ40.0153
0.03
γ50.1800
0.47
γ60.0566
0.13
γ7-1.4916
-3.19***
γ82.2251
6.87***

Persistence:

0.977

Half-life:

29 days