V-Lab
Jpmorgan Actv DVP MRS EQ ETF Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Monday, August 24th, 2026
1 Day
32.29%
decreased by 0.25%
1 Week
33.74%
increased by 1.20%
1 Month
35.57%
increased by 3.03%
Analysis last updated: Saturday, August 22, 2026 at 02:28 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 17, 2024 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 3 trading days.
τ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.6381 | 4.96*** |
α ARCH Response to squared shocks | 0.0943 | 1.34 |
β GARCH Volatility persistence | 0.7060 | 4.52*** |
Spline Coefficients
K=4
| γ1 | -1.1721 | -0.37 |
| γ2 | -0.4363 | -0.08 |
| γ3 | 5.7388 | 1.51 |
| γ4 | -6.9010 | -2.89*** |
Persistence:
0.800
Half-life:
3 days
Other Jpmorgan Actv DVP MRS EQ ETF Analyses
Other Zero Slope Spline-GARCH Analyses on ETFs