V-Lab
Travelzoo Inc Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Monday, September 21st, 2026
1 Day
58.89%
increased by 1.49%
1 Week
62.40%
increased by 5.00%
1 Month
65.69%
increased by 8.29%
Analysis last updated: Friday, September 18, 2026 at 10:59 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Aug 29, 2002 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 2 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 | 2.8245 | 6.79*** |
| αARCH | 0.1892 | 4.08*** |
| βGARCH | 0.5400 | 7.58*** |
Spline Coefficients
K=5
| γ1 | 0.1262 | 3.76*** |
| γ2 | -0.1935 | -3.92*** |
| γ3 | 0.1483 | 5.15*** |
| γ4 | -0.1308 | -5.25*** |
| γ5 | 0.0614 | 3.03*** |
0.729
Persistence2d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 2.8245 | 6.79*** |
α ARCH Response to squared shocks | 0.1892 | 4.08*** |
β GARCH Volatility persistence | 0.5400 | 7.58*** |
Spline Coefficients
K=5
| γ1 | 0.1262 | 3.76*** |
| γ2 | -0.1935 | -3.92*** |
| γ3 | 0.1483 | 5.15*** |
| γ4 | -0.1308 | -5.25*** |
| γ5 | 0.0614 | 3.03*** |
Persistence:
0.729
Half-life:
2 days
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