V-Lab
Siemens AG Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Tuesday, September 15th, 2026
1 Day
29.49%
decreased by 0.45%
1 Week
29.72%
decreased by 0.22%
1 Month
30.49%
increased by 0.55%
Analysis last updated: Wednesday, September 16, 2026 at 06:29 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Sep 14, 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 23 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 | 1.0258 | 6.03*** |
| αARCH | 0.0553 | 7.60*** |
| βGARCH | 0.9151 | 83.21*** |
Spline Coefficients
K=9
| γ1 | 0.0589 | 1.26 |
| γ2 | 0.0168 | 0.22 |
| γ3 | -0.2260 | -4.47*** |
| γ4 | 0.2767 | 6.84*** |
| γ5 | -0.2153 | -4.69*** |
| γ6 | 0.1336 | 2.99*** |
| γ7 | -0.0412 | -0.99 |
| γ8 | -0.0056 | -0.13 |
| γ9 | -0.0057 | -0.19 |
0.970
Persistence23d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.0258 | 6.03*** |
α ARCH Response to squared shocks | 0.0553 | 7.60*** |
β GARCH Volatility persistence | 0.9151 | 83.21*** |
Spline Coefficients
K=9
| γ1 | 0.0589 | 1.26 |
| γ2 | 0.0168 | 0.22 |
| γ3 | -0.2260 | -4.47*** |
| γ4 | 0.2767 | 6.84*** |
| γ5 | -0.2153 | -4.69*** |
| γ6 | 0.1336 | 2.99*** |
| γ7 | -0.0412 | -0.99 |
| γ8 | -0.0056 | -0.13 |
| γ9 | -0.0057 | -0.19 |
Persistence:
0.970
Half-life:
23 days
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