City of London Investment Group PLC Spline-GARCH Volatility Analysis
Volatility prediction for Tuesday, July 14th, 2026
1 Day
20.95%
increased by 4.58%
1 Week
18.77%
increased by 2.40%
1 Month
17.98%
increased by 1.61%
Analysis last updated: Tuesday, July 14, 2026 at 06:33 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 2026 to Jul 10, 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 1 trading day.
τ
Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.7912 | 2.25** |
α ARCH Response to squared shocks | 0.2574 | 1.99** |
β GARCH Volatility persistence | 0.0922 | 0.22 |
Spline Coefficients
K=1
| γ1 | -33.2134 | -2.26** |
Persistence:
0.350
Half-life:
1 days
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