V-Lab
Public Storage Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Friday, October 2nd, 2026
1 Day
21.15%
decreased by 0.48%
1 Week
21.51%
decreased by 0.12%
1 Month
22.59%
increased by 0.96%
Analysis last updated: Thursday, October 1, 2026 at 11:15 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 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 16 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 | 1.4550 | 4.21*** |
| αARCH | 0.0657 | 6.62*** |
| βGARCH | 0.8929 | 58.88*** |
Spline Coefficients
K=7
| γ1 | 0.0298 | 0.99 |
| γ2 | -0.0426 | -0.91 |
| γ3 | 0.0458 | 1.25 |
| γ4 | -0.0820 | -2.51** |
| γ5 | 0.0887 | 3.92*** |
| γ6 | -0.0492 | -3.03*** |
| γ7 | 0.0064 | 0.53 |
0.959
Persistence16d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.4550 | 4.21*** |
α ARCH Response to squared shocks | 0.0657 | 6.62*** |
β GARCH Volatility persistence | 0.8929 | 58.88*** |
Spline Coefficients
K=7
| γ1 | 0.0298 | 0.99 |
| γ2 | -0.0426 | -0.91 |
| γ3 | 0.0458 | 1.25 |
| γ4 | -0.0820 | -2.51** |
| γ5 | 0.0887 | 3.92*** |
| γ6 | -0.0492 | -3.03*** |
| γ7 | 0.0064 | 0.53 |
Persistence:
0.959
Half-life:
16 days
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