V-Lab
Unicap Modaraba Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Friday, September 11th, 2026
1 Day
74.36%
increased by 12.20%
1 Week
74.70%
increased by 12.54%
1 Month
75.02%
increased by 12.86%
Analysis last updated: Friday, September 11, 2026 at 08:52 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Apr 27, 2012 to Sep 4, 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 | 4.2477 | 3.56*** |
| αARCH | 0.1501 | 3.71*** |
| βGARCH | 0.5764 | 4.12*** |
Spline Coefficients
K=10
| γ1 | 2.2300 | 4.96*** |
| γ2 | -3.1248 | -5.12*** |
| γ3 | 1.8185 | 4.14*** |
| γ4 | -1.2586 | -2.76*** |
| γ5 | 0.1027 | 0.21 |
| γ6 | 0.1835 | 0.35 |
| γ7 | 0.4133 | 0.72 |
| γ8 | -0.7826 | -1.58 |
| γ9 | 0.5946 | 1.20 |
| γ10 | -0.1106 | -0.27 |
0.726
Persistence2d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 4.2477 | 3.56*** |
α ARCH Response to squared shocks | 0.1501 | 3.71*** |
β GARCH Volatility persistence | 0.5764 | 4.12*** |
Spline Coefficients
K=10
| γ1 | 2.2300 | 4.96*** |
| γ2 | -3.1248 | -5.12*** |
| γ3 | 1.8185 | 4.14*** |
| γ4 | -1.2586 | -2.76*** |
| γ5 | 0.1027 | 0.21 |
| γ6 | 0.1835 | 0.35 |
| γ7 | 0.4133 | 0.72 |
| γ8 | -0.7826 | -1.58 |
| γ9 | 0.5946 | 1.20 |
| γ10 | -0.1106 | -0.27 |
Persistence:
0.726
Half-life:
2 days
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