V-Lab
S&P MERVAL Argentina Total Return Index ARS Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Wednesday, September 9th, 2026
1 Day
30.58%
increased by 0.01%
1 Week
32.67%
increased by 2.10%
1 Month
38.60%
increased by 8.03%
Analysis last updated: Tuesday, September 8, 2026 at 11:45 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 5, 1990 to Sep 8, 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 19 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 | 2.1786 | 6.30*** |
| αARCH | 0.1220 | 7.03*** |
| βGARCH | 0.8427 | 45.52*** |
Spline Coefficients
K=5
| γ1 | 0.0498 | 4.72*** |
| γ2 | -0.0670 | -4.15*** |
| γ3 | 0.0276 | 2.28** |
| γ4 | -0.0068 | -0.60 |
| γ5 | -0.0102 | -1.12 |
0.965
Persistence19d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 2.1786 | 6.30*** |
α ARCH Response to squared shocks | 0.1220 | 7.03*** |
β GARCH Volatility persistence | 0.8427 | 45.52*** |
Spline Coefficients
K=5
| γ1 | 0.0498 | 4.72*** |
| γ2 | -0.0670 | -4.15*** |
| γ3 | 0.0276 | 2.28** |
| γ4 | -0.0068 | -0.60 |
| γ5 | -0.0102 | -1.12 |
Persistence:
0.965
Half-life:
19 days
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