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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

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of First Trust NASDAQ Clean Edge Green Energy Index Fund S0GARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Feb 14, 2007 to Aug 21, 2026

Model 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

ParameterValuet-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***
γi Spline Coefficients
K=3
γ1-0.0245
-1.75*
γ20.0569
2.90***
γ3-0.0489
-5.08***

Persistence:

0.982

Half-life:

38 days