Janus Henderson B-BBB CLO ETF Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Tuesday, October 20th, 2026
1 Day
2.57%
decreased by 0.18%
1 Week
2.62%
decreased by 0.13%
1 Month
2.78%
increased by 0.03%
Analysis last updated: Tuesday, October 20, 2026 at 02:18 AM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 12, 2022 to Oct 16, 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 14 trading days.
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 | 0.6509 | 3.02*** |
| αARCH | 0.1452 | 3.79*** |
| βGARCH | 0.8071 | 17.26*** |
Spline Coefficients
K=4
| γ1 | -3.4717 | -4.80*** |
| γ2 | 4.9740 | 4.19*** |
| γ3 | -1.9922 | -1.88* |
| γ4 | 0.6973 | 0.84 |
0.952
Persistence14d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.6509 | 3.02*** |
α ARCH Response to squared shocks | 0.1452 | 3.79*** |
β GARCH Volatility persistence | 0.8071 | 17.26*** |
Spline Coefficients
K=4
| γ1 | -3.4717 | -4.80*** |
| γ2 | 4.9740 | 4.19*** |
| γ3 | -1.9922 | -1.88* |
| γ4 | 0.6973 | 0.84 |
Persistence:
0.952
Half-life:
14 days
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