V-Lab
Spenda Ltd Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Friday, September 4th, 2026
1 Day
341.80%
decreased by 1.78%
1 Week
336.87%
decreased by 6.71%
1 Month
320.37%
decreased by 23.21%
Analysis last updated: Friday, September 4, 2026 at 05:54 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 29, 2002 to Aug 28, 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 21 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 | 1.1065 | 4.71*** |
| αARCH | 0.0744 | 7.07*** |
| βGARCH | 0.8930 | 42.53*** |
Spline Coefficients
K=10
| γ1 | 0.2229 | 0.83 |
| γ2 | 0.4010 | 0.88 |
| γ3 | -1.1220 | -2.96*** |
| γ4 | 1.0718 | 3.49*** |
| γ5 | -1.6160 | -4.39*** |
| γ6 | 1.8316 | 3.87*** |
| γ7 | -1.2740 | -2.18** |
| γ8 | 0.8964 | 1.72* |
| γ9 | -0.4134 | -1.15 |
| γ10 | -0.1460 | -0.62 |
0.967
Persistence21d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.1065 | 4.71*** |
α ARCH Response to squared shocks | 0.0744 | 7.07*** |
β GARCH Volatility persistence | 0.8930 | 42.53*** |
Spline Coefficients
K=10
| γ1 | 0.2229 | 0.83 |
| γ2 | 0.4010 | 0.88 |
| γ3 | -1.1220 | -2.96*** |
| γ4 | 1.0718 | 3.49*** |
| γ5 | -1.6160 | -4.39*** |
| γ6 | 1.8316 | 3.87*** |
| γ7 | -1.2740 | -2.18** |
| γ8 | 0.8964 | 1.72* |
| γ9 | -0.4134 | -1.15 |
| γ10 | -0.1460 | -0.62 |
Persistence:
0.967
Half-life:
21 days
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