V-Lab
MSCI Asia Pacific Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Friday, July 24th, 2026
1 Day
22.70%
decreased by 0.90%
1 Week
22.53%
decreased by 1.07%
1 Month
21.90%
decreased by 1.70%
Analysis last updated: Friday, July 24, 2026 at 11:21 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 1990 to Mar 19, 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 39 trading days.
τ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.3678 | 8.93*** |
α ARCH Response to squared shocks | 0.1021 | 9.55*** |
β GARCH Volatility persistence | 0.8803 | 84.52*** |
Spline Coefficients
K=1
| γ1 | 0.0004 | 3.48*** |
Persistence:
0.982
Half-life:
39 days
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