V-Lab
National Stock Exchange CNX Nifty Index Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Monday, October 5th, 2026
1 Day
13.14%
increased by 0.18%
1 Week
13.26%
increased by 0.30%
1 Month
13.69%
increased by 0.73%
Analysis last updated: Thursday, October 1, 2026 at 12:04 PM UTC
Press Delete or Backspace to remove this series.
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jul 2, 1990 to Oct 1, 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 34 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 | 1.2330 | 6.93*** |
| αARCH | 0.1030 | 9.48*** |
| βGARCH | 0.8765 | 77.13*** |
Spline Coefficients
K=2
| γ1 | -0.0028 | -2.06** |
| γ2 | 0.0048 | 2.87*** |
0.980
Persistence34d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.2330 | 6.93*** |
α ARCH Response to squared shocks | 0.1030 | 9.48*** |
β GARCH Volatility persistence | 0.8765 | 77.13*** |
Spline Coefficients
K=2
| γ1 | -0.0028 | -2.06** |
| γ2 | 0.0048 | 2.87*** |
Persistence:
0.980
Half-life:
34 days
Other National Stock Exchange CNX Nifty Index Analyses
Other Zero Slope Spline-GARCH Analyses on Equity Indices