V-Lab
Vinci Shopping Centers Fundo Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Thursday, October 1st, 2026
1 Day
10.03%
decreased by 0.22%
1 Week
10.69%
increased by 0.44%
1 Month
11.75%
increased by 1.50%
Analysis last updated: Thursday, October 1, 2026 at 10:24 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 3, 2017 to Sep 25, 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 5 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 | 0.7610 | 3.85*** |
| αARCH | 0.1211 | 3.84*** |
| βGARCH | 0.7374 | 8.03*** |
Spline Coefficients
K=10
| γ1 | -2.4130 | -1.62 |
| γ2 | 5.5723 | 2.37** |
| γ3 | -6.2235 | -3.88*** |
| γ4 | 4.6912 | 3.93*** |
| γ5 | -2.2611 | -1.93* |
| γ6 | 0.7429 | 0.57 |
| γ7 | -0.1868 | -0.14 |
| γ8 | 0.5873 | 0.34 |
| γ9 | -1.1623 | -0.72 |
| γ10 | 0.9640 | 0.96 |
0.858
Persistence5d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.7610 | 3.85*** |
α ARCH Response to squared shocks | 0.1211 | 3.84*** |
β GARCH Volatility persistence | 0.7374 | 8.03*** |
Spline Coefficients
K=10
| γ1 | -2.4130 | -1.62 |
| γ2 | 5.5723 | 2.37** |
| γ3 | -6.2235 | -3.88*** |
| γ4 | 4.6912 | 3.93*** |
| γ5 | -2.2611 | -1.93* |
| γ6 | 0.7429 | 0.57 |
| γ7 | -0.1868 | -0.14 |
| γ8 | 0.5873 | 0.34 |
| γ9 | -1.1623 | -0.72 |
| γ10 | 0.9640 | 0.96 |
Persistence:
0.858
Half-life:
5 days
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