V-Lab
First Trust NASDAQ Clean Edge Green Energy Index Fund Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Monday, September 21st, 2026
1 Day
35.47%
decreased by 1.06%
1 Week
35.88%
decreased by 0.65%
1 Month
37.29%
increased by 0.76%
Analysis last updated: Friday, September 18, 2026 at 10:06 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Feb 14, 2007 to Sep 18, 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 37 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 | 0.9910 | 5.19*** |
| αARCH | 0.0722 | 7.20*** |
| βGARCH | 0.9094 | 77.26*** |
Spline Coefficients
K=3
| γ1 | -0.0239 | -1.72* |
| γ2 | 0.0556 | 2.86*** |
| γ3 | -0.0480 | -5.04*** |
0.982
Persistence37d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.9910 | 5.19*** |
α ARCH Response to squared shocks | 0.0722 | 7.20*** |
β GARCH Volatility persistence | 0.9094 | 77.26*** |
Spline Coefficients
K=3
| γ1 | -0.0239 | -1.72* |
| γ2 | 0.0556 | 2.86*** |
| γ3 | -0.0480 | -5.04*** |
Persistence:
0.982
Half-life:
37 days
Other First Trust NASDAQ Clean Edge Green Energy Index Fund Analyses
Other Zero Slope Spline-GARCH Analyses on ETFs