NASDAQ 100 Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Monday, November 2nd, 2026
1 Day
26.27%
increased by 5.19%
1 Week
26.03%
increased by 4.95%
1 Month
25.23%
increased by 4.15%
Analysis last updated: Saturday, October 31, 2026 at 12:06 AM 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 Oct 30, 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 21 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 | 0.9386 | 8.26*** |
| αARCH | 0.0910 | 10.38*** |
| βGARCH | 0.8767 | 80.75*** |
Spline Coefficients
K=8
| γ1 | 0.0162 | 0.64 |
| γ2 | 0.0213 | 0.52 |
| γ3 | -0.1391 | -4.44*** |
| γ4 | 0.1858 | 6.55*** |
| γ5 | -0.1345 | -5.22*** |
| γ6 | 0.0973 | 3.47*** |
| γ7 | -0.0664 | -2.40** |
| γ8 | 0.0187 | 0.91 |
0.968
Persistence21d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.9386 | 8.26*** |
α ARCH Response to squared shocks | 0.0910 | 10.38*** |
β GARCH Volatility persistence | 0.8767 | 80.75*** |
Spline Coefficients
K=8
| γ1 | 0.0162 | 0.64 |
| γ2 | 0.0213 | 0.52 |
| γ3 | -0.1391 | -4.44*** |
| γ4 | 0.1858 | 6.55*** |
| γ5 | -0.1345 | -5.22*** |
| γ6 | 0.0973 | 3.47*** |
| γ7 | -0.0664 | -2.40** |
| γ8 | 0.0187 | 0.91 |
Persistence:
0.968
Half-life:
21 days
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