V-Lab
MSCI World Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Friday, September 4th, 2026
1 Day
10.20%
increased by 1.35%
1 Week
10.51%
increased by 1.66%
1 Month
11.42%
increased by 2.57%
Analysis last updated: Friday, September 4, 2026 at 11:28 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 1990 to Aug 27, 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 18 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 | 1.3235 | 7.08*** |
| αARCH | 0.1126 | 10.06*** |
| βGARCH | 0.8493 | 63.98*** |
Spline Coefficients
K=8
| γ1 | 0.0301 | 1.28 |
| γ2 | 0.0155 | 0.41 |
| γ3 | -0.1209 | -4.38*** |
| γ4 | 0.1569 | 6.39*** |
| γ5 | -0.1677 | -7.13*** |
| γ6 | 0.1464 | 5.50*** |
| γ7 | -0.0744 | -2.72*** |
| γ8 | 0.0115 | 0.61 |
0.962
Persistence18d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.3235 | 7.08*** |
α ARCH Response to squared shocks | 0.1126 | 10.06*** |
β GARCH Volatility persistence | 0.8493 | 63.98*** |
Spline Coefficients
K=8
| γ1 | 0.0301 | 1.28 |
| γ2 | 0.0155 | 0.41 |
| γ3 | -0.1209 | -4.38*** |
| γ4 | 0.1569 | 6.39*** |
| γ5 | -0.1677 | -7.13*** |
| γ6 | 0.1464 | 5.50*** |
| γ7 | -0.0744 | -2.72*** |
| γ8 | 0.0115 | 0.61 |
Persistence:
0.962
Half-life:
18 days
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