V-Lab
ThyssenKrupp AG Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Monday, September 21st, 2026
1 Day
46.10%
decreased by 0.11%
1 Week
46.68%
increased by 0.47%
1 Month
48.43%
increased by 2.22%
Analysis last updated: Saturday, September 19, 2026 at 08:15 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Sep 18, 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 18 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 | 0.8463 | 5.88*** |
| αARCH | 0.0718 | 7.85*** |
| βGARCH | 0.8904 | 62.67*** |
Spline Coefficients
K=9
| γ1 | -0.0274 | -0.67 |
| γ2 | 0.1123 | 1.80* |
| γ3 | -0.1959 | -4.34*** |
| γ4 | 0.1995 | 4.67*** |
| γ5 | -0.1297 | -3.02*** |
| γ6 | 0.0368 | 0.83 |
| γ7 | 0.0548 | 1.42 |
| γ8 | -0.1012 | -2.29** |
| γ9 | 0.0613 | 1.51 |
0.962
Persistence18d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.8463 | 5.88*** |
α ARCH Response to squared shocks | 0.0718 | 7.85*** |
β GARCH Volatility persistence | 0.8904 | 62.67*** |
Spline Coefficients
K=9
| γ1 | -0.0274 | -0.67 |
| γ2 | 0.1123 | 1.80* |
| γ3 | -0.1959 | -4.34*** |
| γ4 | 0.1995 | 4.67*** |
| γ5 | -0.1297 | -3.02*** |
| γ6 | 0.0368 | 0.83 |
| γ7 | 0.0548 | 1.42 |
| γ8 | -0.1012 | -2.29** |
| γ9 | 0.0613 | 1.51 |
Persistence:
0.962
Half-life:
18 days
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