NASDAQ 100 Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Monday, October 12th, 2026
1 Day
16.19%
decreased by 0.39%
1 Week
16.58%
decreased by 0.00%
1 Month
17.80%
increased by 1.22%
Analysis last updated: Saturday, October 10, 2026 at 02:27 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 9, 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 | 0.9427 | 8.30*** |
| αARCH | 0.0905 | 10.36*** |
| βGARCH | 0.8774 | 81.15*** |
Spline Coefficients
K=8
| γ1 | 0.0161 | 0.64 |
| γ2 | 0.0220 | 0.54 |
| γ3 | -0.1401 | -4.43*** |
| γ4 | 0.1863 | 6.54*** |
| γ5 | -0.1353 | -5.24*** |
| γ6 | 0.0986 | 3.50*** |
| γ7 | -0.0683 | -2.44** |
| γ8 | 0.0207 | 1.00 |
0.968
Persistence21d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.9427 | 8.30*** |
α ARCH Response to squared shocks | 0.0905 | 10.36*** |
β GARCH Volatility persistence | 0.8774 | 81.15*** |
Spline Coefficients
K=8
| γ1 | 0.0161 | 0.64 |
| γ2 | 0.0220 | 0.54 |
| γ3 | -0.1401 | -4.43*** |
| γ4 | 0.1863 | 6.54*** |
| γ5 | -0.1353 | -5.24*** |
| γ6 | 0.0986 | 3.50*** |
| γ7 | -0.0683 | -2.44** |
| γ8 | 0.0207 | 1.00 |
Persistence:
0.968
Half-life:
21 days
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