V-Lab
Innovator Equity Dual Directional 15 Buffer ETF - November Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Monday, August 24th, 2026
1 Day
3.50%
increased by 0.50%
1 Week
3.64%
increased by 0.64%
1 Month
3.92%
increased by 0.92%
Analysis last updated: Saturday, August 22, 2026 at 02:15 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 3, 2025 to Aug 21, 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 6 trading days.
τ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.3991 | 5.39*** |
α ARCH Response to squared shocks | 0.1895 | 2.27** |
β GARCH Volatility persistence | 0.6969 | 4.24*** |
Spline Coefficients
K=1
| γ1 | 1.2914 | 1.99** |
Persistence:
0.886
Half-life:
6 days
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