V-Lab
Spenda Ltd Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Tuesday, September 15th, 2026
1 Day
324.54%
increased by 0.18%
1 Week
320.29%
decreased by 4.07%
1 Month
306.11%
decreased by 18.25%
Analysis last updated: Wednesday, September 16, 2026 at 03:02 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 29, 2002 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 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 | 1.1057 | 4.69*** |
| αARCH | 0.0753 | 7.09*** |
| βGARCH | 0.8921 | 42.33*** |
Spline Coefficients
K=10
| γ1 | 0.2236 | 0.84 |
| γ2 | 0.3979 | 0.88 |
| γ3 | -1.1165 | -2.95*** |
| γ4 | 1.0564 | 3.44*** |
| γ5 | -1.5900 | -4.34*** |
| γ6 | 1.8148 | 3.92*** |
| γ7 | -1.2704 | -2.22** |
| γ8 | 0.8911 | 1.70* |
| γ9 | -0.3930 | -1.08 |
| γ10 | -0.1749 | -0.73 |
0.967
Persistence21d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.1057 | 4.69*** |
α ARCH Response to squared shocks | 0.0753 | 7.09*** |
β GARCH Volatility persistence | 0.8921 | 42.33*** |
Spline Coefficients
K=10
| γ1 | 0.2236 | 0.84 |
| γ2 | 0.3979 | 0.88 |
| γ3 | -1.1165 | -2.95*** |
| γ4 | 1.0564 | 3.44*** |
| γ5 | -1.5900 | -4.34*** |
| γ6 | 1.8148 | 3.92*** |
| γ7 | -1.2704 | -2.22** |
| γ8 | 0.8911 | 1.70* |
| γ9 | -0.3930 | -1.08 |
| γ10 | -0.1749 | -0.73 |
Persistence:
0.967
Half-life:
21 days
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