V-Lab
Vivmark Residential Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Friday, October 2nd, 2026
1 Day
22.24%
decreased by 0.40%
1 Week
22.53%
decreased by 0.11%
1 Month
23.47%
increased by 0.83%
Analysis last updated: Thursday, October 1, 2026 at 11:18 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Aug 12, 1993 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 24 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 | 1.2995 | 4.64*** |
| αARCH | 0.0895 | 8.67*** |
| βGARCH | 0.8820 | 69.59*** |
Spline Coefficients
K=5
| γ1 | 0.0294 | 1.83* |
| γ2 | -0.0235 | -1.08 |
| γ3 | -0.0266 | -2.03** |
| γ4 | 0.0424 | 3.19*** |
| γ5 | -0.0309 | -3.23*** |
0.972
Persistence24d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.2995 | 4.64*** |
α ARCH Response to squared shocks | 0.0895 | 8.67*** |
β GARCH Volatility persistence | 0.8820 | 69.59*** |
Spline Coefficients
K=5
| γ1 | 0.0294 | 1.83* |
| γ2 | -0.0235 | -1.08 |
| γ3 | -0.0266 | -2.03** |
| γ4 | 0.0424 | 3.19*** |
| γ5 | -0.0309 | -3.23*** |
Persistence:
0.972
Half-life:
24 days
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