V-Lab
CBOE Realized Volatility Index Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Monday, October 5th, 2026
1 Day
43.16%
decreased by 0.33%
1 Week
44.08%
increased by 0.59%
1 Month
44.27%
increased by 0.78%
Analysis last updated: Monday, October 5, 2026 at 11:30 AM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jun 1, 2012 to Oct 2, 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.
τ
Zero Slope Spline-GARCH Model
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Time-varying baseline: volatility reverts to a slowly-shifting spline trend
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.9306 | 7.98*** |
| αARCH | 0.0616 | 1.60 |
| βGARCH | 0.0000 | 0.00 |
Spline Coefficients
K=4
| γ1 | 0.0433 | 1.15 |
| γ2 | -0.0876 | -1.47 |
| γ3 | 0.0782 | 1.62 |
| γ4 | -0.0483 | -1.37 |
0.062
Persistence0d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.9306 | 7.98*** |
α ARCH Response to squared shocks | 0.0616 | 1.60 |
β GARCH Volatility persistence | 0.0000 | 0.00 |
Spline Coefficients
K=4
| γ1 | 0.0433 | 1.15 |
| γ2 | -0.0876 | -1.47 |
| γ3 | 0.0782 | 1.62 |
| γ4 | -0.0483 | -1.37 |
Persistence:
0.062
Half-life:
0 days
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