V-Lab
NASDAQ 100 Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Tuesday, September 15th, 2026
1 Day
16.01%
decreased by 0.02%
1 Week
16.42%
increased by 0.39%
1 Month
17.71%
increased by 1.68%
Analysis last updated: Tuesday, September 15, 2026 at 12:04 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 1990 to Sep 11, 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 | 0.9406 | 8.31*** |
| αARCH | 0.0907 | 10.34*** |
| βGARCH | 0.8769 | 80.62*** |
Spline Coefficients
K=8
| γ1 | 0.0151 | 0.59 |
| γ2 | 0.0243 | 0.59 |
| γ3 | -0.1426 | -4.52*** |
| γ4 | 0.1883 | 6.66*** |
| γ5 | -0.1365 | -5.32*** |
| γ6 | 0.0992 | 3.53*** |
| γ7 | -0.0679 | -2.42** |
| γ8 | 0.0199 | 0.95 |
0.968
Persistence21d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.9406 | 8.31*** |
α ARCH Response to squared shocks | 0.0907 | 10.34*** |
β GARCH Volatility persistence | 0.8769 | 80.62*** |
Spline Coefficients
K=8
| γ1 | 0.0151 | 0.59 |
| γ2 | 0.0243 | 0.59 |
| γ3 | -0.1426 | -4.52*** |
| γ4 | 0.1883 | 6.66*** |
| γ5 | -0.1365 | -5.32*** |
| γ6 | 0.0992 | 3.53*** |
| γ7 | -0.0679 | -2.42** |
| γ8 | 0.0199 | 0.95 |
Persistence:
0.968
Half-life:
21 days
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