V-Lab
PMV Pharmaceuticals Inc Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Thursday, September 10th, 2026
1 Day
61.15%
decreased by 3.12%
1 Week
64.23%
decreased by 0.04%
1 Month
65.40%
increased by 1.13%
Analysis last updated: Wednesday, September 9, 2026 at 09:24 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Sep 25, 2020 to Sep 4, 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 1 trading day.
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 | 0.5612 | 4.75*** |
| αARCH | 0.2056 | 3.31*** |
| βGARCH | 0.2115 | 1.61 |
Spline Coefficients
K=9
| γ1 | -7.2302 | -3.31*** |
| γ2 | 12.1164 | 3.82*** |
| γ3 | -9.2087 | -4.45*** |
| γ4 | 8.1407 | 3.84*** |
| γ5 | -7.3574 | -3.31*** |
| γ6 | 4.3055 | 2.20** |
| γ7 | 1.6536 | 1.04 |
| γ8 | -4.5088 | -3.26*** |
| γ9 | 2.6317 | 2.73*** |
0.417
Persistence1d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.5612 | 4.75*** |
α ARCH Response to squared shocks | 0.2056 | 3.31*** |
β GARCH Volatility persistence | 0.2115 | 1.61 |
Spline Coefficients
K=9
| γ1 | -7.2302 | -3.31*** |
| γ2 | 12.1164 | 3.82*** |
| γ3 | -9.2087 | -4.45*** |
| γ4 | 8.1407 | 3.84*** |
| γ5 | -7.3574 | -3.31*** |
| γ6 | 4.3055 | 2.20** |
| γ7 | 1.6536 | 1.04 |
| γ8 | -4.5088 | -3.26*** |
| γ9 | 2.6317 | 2.73*** |
Persistence:
0.417
Half-life:
1 days
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