Global X S&P 500 Christin VL Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Tuesday, July 21st, 2026
1 Day
13.81%
decreased by 0.06%
1 Week
13.91%
increased by 0.04%
1 Month
14.05%
increased by 0.18%
Analysis last updated: Monday, July 20, 2026 at 09:27 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Sep 24, 2025 to Jul 17, 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 3 trading days.
τ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.9183 | 5.80*** |
α ARCH Response to squared shocks | 0.0163 | 0.37 |
β GARCH Volatility persistence | 0.8017 | 0.97 |
Spline Coefficients
K=1
| γ1 | -0.3062 | -0.53 |
Persistence:
0.818
Half-life:
3 days
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