Twin Oak Strategic Solutions ETF Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Tuesday, July 21st, 2026
1 Day
28.39%
unchanged at 0.00%
1 Week
28.39%
unchanged at 0.00%
1 Month
28.39%
unchanged at 0.00%
Analysis last updated: Monday, July 20, 2026 at 09:23 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 29, 2026 to Jul 17, 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 1 trading day.
τ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.9039 | 6.02*** |
α ARCH Response to squared shocks | 0.0000 | 0.00 |
β GARCH Volatility persistence | 0.4911 | 0.08 |
Spline Coefficients
K=1
| γ1 | -1.0728 | -0.68 |
Persistence:
0.491
Half-life:
1 days
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