Ctac NV Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Tuesday, July 14th, 2026
1 Day
41.52%
increased by 0.02%
1 Week
41.56%
increased by 0.06%
1 Month
41.69%
increased by 0.19%
Analysis last updated: Tuesday, July 14, 2026 at 06:36 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Dec 26, 2025 to Jul 10, 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 28 trading days.
τ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.9340 | 4.38*** |
α ARCH Response to squared shocks | 0.0000 | 0.00 |
β GARCH Volatility persistence | 0.9755 | 21.15*** |
Spline Coefficients
K=1
| γ1 | -1.8932 | -1.33 |
Persistence:
0.976
Half-life:
28 days
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