V-Lab
First Trust NASDAQ Clean Edge Green Energy Index Fund Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Monday, August 24th, 2026
1 Day
39.12%
decreased by 1.02%
1 Week
39.37%
decreased by 0.77%
1 Month
40.26%
increased by 0.12%
Analysis last updated: Friday, August 21, 2026 at 09:46 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Feb 14, 2007 to Aug 21, 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 38 trading days.
τ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.9892 | 5.16*** |
α ARCH Response to squared shocks | 0.0719 | 7.16*** |
β GARCH Volatility persistence | 0.9099 | 77.16*** |
Spline Coefficients
K=3
| γ1 | -0.0245 | -1.75* |
| γ2 | 0.0569 | 2.90*** |
| γ3 | -0.0489 | -5.08*** |
Persistence:
0.982
Half-life:
38 days
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