V-Lab
Securitize Corp Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Monday, September 14th, 2026
1 Day
117.29%
unchanged at 0.00%
1 Week
117.29%
unchanged at 0.00%
1 Month
117.29%
unchanged at 0.00%
Analysis last updated: Saturday, September 12, 2026 at 12:31 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 2, 2025 to Sep 11, 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 2 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 | 0.4141 | 1.29 |
| αARCH | 0.0000 | 0.00 |
| βGARCH | 0.6926 | 1.08 |
Spline Coefficients
K=10
| γ1 | 89.7214 | 0.83 |
| γ2 | -187.3467 | -1.41 |
| γ3 | 290.0337 | 4.73*** |
| γ4 | -471.3314 | -5.93*** |
| γ5 | 587.9597 | 6.46*** |
| γ6 | -597.4466 | -7.82*** |
| γ7 | 503.5269 | 7.11*** |
| γ8 | -240.2940 | -3.26*** |
| γ9 | -48.1624 | -0.63 |
| γ10 | 88.2858 | 1.50 |
0.693
Persistence2d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.4141 | 1.29 |
α ARCH Response to squared shocks | 0.0000 | 0.00 |
β GARCH Volatility persistence | 0.6926 | 1.08 |
Spline Coefficients
K=10
| γ1 | 89.7214 | 0.83 |
| γ2 | -187.3467 | -1.41 |
| γ3 | 290.0337 | 4.73*** |
| γ4 | -471.3314 | -5.93*** |
| γ5 | 587.9597 | 6.46*** |
| γ6 | -597.4466 | -7.82*** |
| γ7 | 503.5269 | 7.11*** |
| γ8 | -240.2940 | -3.26*** |
| γ9 | -48.1624 | -0.63 |
| γ10 | 88.2858 | 1.50 |
Persistence:
0.693
Half-life:
2 days
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