V-Lab
Spenda Ltd Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Wednesday, October 7th, 2026
1 Day
254.36%
increased by 10.18%
1 Week
254.15%
increased by 9.97%
1 Month
253.44%
increased by 9.26%
Analysis last updated: Wednesday, October 7, 2026 at 06:07 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 29, 2002 to Oct 2, 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 | 1.1067 | 4.70*** |
| αARCH | 0.0754 | 7.07*** |
| βGARCH | 0.8918 | 42.50*** |
Spline Coefficients
K=10
| γ1 | 0.2272 | 0.86 |
| γ2 | 0.3900 | 0.87 |
| γ3 | -1.1072 | -2.94*** |
| γ4 | 1.0385 | 3.39*** |
| γ5 | -1.5645 | -4.31*** |
| γ6 | 1.8008 | 4.00*** |
| γ7 | -1.2704 | -2.29** |
| γ8 | 0.8965 | 1.72* |
| γ9 | -0.4066 | -1.11 |
| γ10 | -0.1592 | -0.66 |
0.967
Persistence21d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.1067 | 4.70*** |
α ARCH Response to squared shocks | 0.0754 | 7.07*** |
β GARCH Volatility persistence | 0.8918 | 42.50*** |
Spline Coefficients
K=10
| γ1 | 0.2272 | 0.86 |
| γ2 | 0.3900 | 0.87 |
| γ3 | -1.1072 | -2.94*** |
| γ4 | 1.0385 | 3.39*** |
| γ5 | -1.5645 | -4.31*** |
| γ6 | 1.8008 | 4.00*** |
| γ7 | -1.2704 | -2.29** |
| γ8 | 0.8965 | 1.72* |
| γ9 | -0.4066 | -1.11 |
| γ10 | -0.1592 | -0.66 |
Persistence:
0.967
Half-life:
21 days
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