PIMCO Enhanced Low Duration Active ETF Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Tuesday, July 21st, 2026
1 Day
1.54%
decreased by 0.06%
1 Week
1.57%
decreased by 0.03%
1 Month
1.65%
increased by 0.05%
Analysis last updated: Monday, July 20, 2026 at 09:45 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 23, 2014 to Jul 17, 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 13 trading days.
τ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.8754 | 4.48*** |
α ARCH Response to squared shocks | 0.1494 | 4.93*** |
β GARCH Volatility persistence | 0.8000 | 29.78*** |
Spline Coefficients
K=6
| γ1 | -0.3350 | -1.74* |
| γ2 | 0.5177 | 1.64 |
| γ3 | -0.4652 | -1.77* |
| γ4 | 0.7812 | 3.76*** |
| γ5 | -0.8965 | -5.89*** |
| γ6 | 0.5217 | 4.61*** |
Persistence:
0.949
Half-life:
13 days
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