V-Lab
MSCI USA Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Friday, October 2nd, 2026
1 Day
11.63%
decreased by 0.34%
1 Week
12.04%
increased by 0.07%
1 Month
13.28%
increased by 1.31%
Analysis last updated: Friday, October 2, 2026 at 09:43 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 1990 to Sep 24, 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 23 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 | 1.3220 | 7.59*** |
| αARCH | 0.0954 | 10.12*** |
| βGARCH | 0.8746 | 79.11*** |
Spline Coefficients
K=6
| γ1 | 0.0788 | 6.10*** |
| γ2 | -0.1259 | -6.00*** |
| γ3 | 0.0729 | 4.76*** |
| γ4 | -0.0447 | -3.36*** |
| γ5 | 0.0386 | 2.59*** |
| γ6 | -0.0285 | -2.48** |
0.970
Persistence23d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.3220 | 7.59*** |
α ARCH Response to squared shocks | 0.0954 | 10.12*** |
β GARCH Volatility persistence | 0.8746 | 79.11*** |
Spline Coefficients
K=6
| γ1 | 0.0788 | 6.10*** |
| γ2 | -0.1259 | -6.00*** |
| γ3 | 0.0729 | 4.76*** |
| γ4 | -0.0447 | -3.36*** |
| γ5 | 0.0386 | 2.59*** |
| γ6 | -0.0285 | -2.48** |
Persistence:
0.970
Half-life:
23 days
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