V-Lab
Region Group Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Thursday, October 1st, 2026
1 Day
14.87%
increased by 0.77%
1 Week
14.77%
increased by 0.67%
1 Month
14.61%
increased by 0.51%
Analysis last updated: Thursday, October 1, 2026 at 06:11 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 26, 2012 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 4 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 | 1.2481 | 7.20*** |
| αARCH | 0.0776 | 3.83*** |
| βGARCH | 0.7624 | 12.78*** |
Spline Coefficients
K=7
| γ1 | 0.3871 | 3.51*** |
| γ2 | -0.7362 | -4.57*** |
| γ3 | 0.7301 | 6.52*** |
| γ4 | -0.5998 | -5.33*** |
| γ5 | 0.2730 | 2.59*** |
| γ6 | -0.1537 | -1.64 |
| γ7 | 0.1850 | 2.58*** |
0.840
Persistence4d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.2481 | 7.20*** |
α ARCH Response to squared shocks | 0.0776 | 3.83*** |
β GARCH Volatility persistence | 0.7624 | 12.78*** |
Spline Coefficients
K=7
| γ1 | 0.3871 | 3.51*** |
| γ2 | -0.7362 | -4.57*** |
| γ3 | 0.7301 | 6.52*** |
| γ4 | -0.5998 | -5.33*** |
| γ5 | 0.2730 | 2.59*** |
| γ6 | -0.1537 | -1.64 |
| γ7 | 0.1850 | 2.58*** |
Persistence:
0.840
Half-life:
4 days
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