V-Lab
Blom Stock Index Spline-GARCH Volatility Analysis
Volatility prediction for Friday, September 4th, 2026
1 Day
25.98%
increased by 3.45%
1 Week
26.78%
increased by 4.25%
1 Month
28.65%
increased by 6.12%
Analysis last updated: Friday, September 4, 2026 at 11:28 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 19, 1996 to Aug 27, 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 8 trading days.
τ
Spline-GARCH Model
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Time-varying baseline: volatility reverts to a slowly-shifting spline trend
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.6745 | 3.11*** |
| αARCH | 0.3405 | 8.36*** |
| βGARCH | 0.5796 | 16.76*** |
Spline Coefficients
K=8
| γ1 | 0.2656 | 3.42*** |
| γ2 | -0.4039 | -3.72*** |
| γ3 | 0.2052 | 3.04*** |
| γ4 | -0.1750 | -2.69*** |
| γ5 | 0.1952 | 3.24*** |
| γ6 | -0.0314 | -0.55 |
| γ7 | -0.0835 | -1.17 |
| γ8 | -0.0537 | -0.56 |
0.920
Persistence8d
Half-lifeτ
Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.6745 | 3.11*** |
α ARCH Response to squared shocks | 0.3405 | 8.36*** |
β GARCH Volatility persistence | 0.5796 | 16.76*** |
Spline Coefficients
K=8
| γ1 | 0.2656 | 3.42*** |
| γ2 | -0.4039 | -3.72*** |
| γ3 | 0.2052 | 3.04*** |
| γ4 | -0.1750 | -2.69*** |
| γ5 | 0.1952 | 3.24*** |
| γ6 | -0.0314 | -0.55 |
| γ7 | -0.0835 | -1.17 |
| γ8 | -0.0537 | -0.56 |
Persistence:
0.920
Half-life:
8 days
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