V-Lab
Visa Inc Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Monday, September 14th, 2026
1 Day
22.38%
decreased by 0.18%
1 Week
23.81%
increased by 1.25%
1 Month
26.75%
increased by 4.19%
Analysis last updated: Saturday, September 12, 2026 at 12:39 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Mar 19, 2008 to Sep 11, 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 7 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 | 1.9865 | 7.23*** |
| αARCH | 0.1382 | 6.96*** |
| βGARCH | 0.7680 | 28.04*** |
Spline Coefficients
K=9
| γ1 | 0.3098 | 1.62 |
| γ2 | -0.4804 | -1.43 |
| γ3 | 0.3570 | 1.37 |
| γ4 | -0.3824 | -1.86* |
| γ5 | 0.3803 | 2.08** |
| γ6 | -0.1171 | -0.71 |
| γ7 | -0.3650 | -2.21** |
| γ8 | 0.5909 | 3.84*** |
| γ9 | -0.4115 | -3.32*** |
0.906
Persistence7d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.9865 | 7.23*** |
α ARCH Response to squared shocks | 0.1382 | 6.96*** |
β GARCH Volatility persistence | 0.7680 | 28.04*** |
Spline Coefficients
K=9
| γ1 | 0.3098 | 1.62 |
| γ2 | -0.4804 | -1.43 |
| γ3 | 0.3570 | 1.37 |
| γ4 | -0.3824 | -1.86* |
| γ5 | 0.3803 | 2.08** |
| γ6 | -0.1171 | -0.71 |
| γ7 | -0.3650 | -2.21** |
| γ8 | 0.5909 | 3.84*** |
| γ9 | -0.4115 | -3.32*** |
Persistence:
0.906
Half-life:
7 days
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