V-Lab
Invesco MSCI Sustainable Future ETF Fund Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Tuesday, September 8th, 2026
1 Day
17.56%
decreased by 0.58%
1 Week
18.10%
decreased by 0.04%
1 Month
19.83%
increased by 1.69%
Analysis last updated: Saturday, September 5, 2026 at 02:23 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Oct 24, 2006 to Sep 4, 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 28 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 | 1.1597 | 5.90*** |
| αARCH | 0.0907 | 7.66*** |
| βGARCH | 0.8851 | 68.28*** |
Spline Coefficients
K=3
| γ1 | -0.0140 | -1.07 |
| γ2 | 0.0378 | 2.01** |
| γ3 | -0.0346 | -3.75*** |
0.976
Persistence28d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.1597 | 5.90*** |
α ARCH Response to squared shocks | 0.0907 | 7.66*** |
β GARCH Volatility persistence | 0.8851 | 68.28*** |
Spline Coefficients
K=3
| γ1 | -0.0140 | -1.07 |
| γ2 | 0.0378 | 2.01** |
| γ3 | -0.0346 | -3.75*** |
Persistence:
0.976
Half-life:
28 days
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