V-Lab
Petrolia Se Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Friday, September 11th, 2026
1 Day
37.07%
decreased by 0.30%
1 Week
38.10%
increased by 0.73%
1 Month
41.46%
increased by 4.09%
Analysis last updated: Friday, September 11, 2026 at 08:49 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 11, 1999 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 29 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 | 0.8227 | 3.69*** |
| αARCH | 0.0783 | 8.18*** |
| βGARCH | 0.8981 | 68.04*** |
Spline Coefficients
K=9
| γ1 | 0.0958 | 0.78 |
| γ2 | -0.3207 | -1.78* |
| γ3 | 0.5137 | 4.91*** |
| γ4 | -0.4766 | -5.05*** |
| γ5 | 0.2661 | 2.00** |
| γ6 | -0.1433 | -1.05 |
| γ7 | 0.1015 | 0.91 |
| γ8 | -0.0742 | -0.85 |
| γ9 | 0.0730 | 1.06 |
0.976
Persistence29d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.8227 | 3.69*** |
α ARCH Response to squared shocks | 0.0783 | 8.18*** |
β GARCH Volatility persistence | 0.8981 | 68.04*** |
Spline Coefficients
K=9
| γ1 | 0.0958 | 0.78 |
| γ2 | -0.3207 | -1.78* |
| γ3 | 0.5137 | 4.91*** |
| γ4 | -0.4766 | -5.05*** |
| γ5 | 0.2661 | 2.00** |
| γ6 | -0.1433 | -1.05 |
| γ7 | 0.1015 | 0.91 |
| γ8 | -0.0742 | -0.85 |
| γ9 | 0.0730 | 1.06 |
Persistence:
0.976
Half-life:
29 days
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