V-Lab
MSCI World Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Friday, September 25th, 2026
1 Day
10.80%
decreased by 0.42%
1 Week
11.04%
decreased by 0.18%
1 Month
11.78%
increased by 0.56%
Analysis last updated: Friday, September 25, 2026 at 09:00 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 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 | 1.3271 | 7.08*** |
| αARCH | 0.1124 | 10.07*** |
| βGARCH | 0.8497 | 64.27*** |
Spline Coefficients
K=8
| γ1 | 0.0308 | 1.32 |
| γ2 | 0.0139 | 0.37 |
| γ3 | -0.1191 | -4.31*** |
| γ4 | 0.1555 | 6.31*** |
| γ5 | -0.1673 | -7.11*** |
| γ6 | 0.1474 | 5.54*** |
| γ7 | -0.0767 | -2.81*** |
| γ8 | 0.0135 | 0.71 |
0.962
Persistence18d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.3271 | 7.08*** |
α ARCH Response to squared shocks | 0.1124 | 10.07*** |
β GARCH Volatility persistence | 0.8497 | 64.27*** |
Spline Coefficients
K=8
| γ1 | 0.0308 | 1.32 |
| γ2 | 0.0139 | 0.37 |
| γ3 | -0.1191 | -4.31*** |
| γ4 | 0.1555 | 6.31*** |
| γ5 | -0.1673 | -7.11*** |
| γ6 | 0.1474 | 5.54*** |
| γ7 | -0.0767 | -2.81*** |
| γ8 | 0.0135 | 0.71 |
Persistence:
0.962
Half-life:
18 days
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