V-Lab
Pacer S&P 500 Quality FCF R&D Leaders ETF Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Wednesday, August 26th, 2026
1 Day
18.94%
unchanged at 0.00%
1 Week
18.94%
unchanged at 0.00%
1 Month
18.94%
unchanged at 0.00%
Analysis last updated: Wednesday, August 26, 2026 at 02:15 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 14, 2026 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 3 trading days.
τ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.0643 | 5.67*** |
α ARCH Response to squared shocks | 0.0000 | 0.00 |
β GARCH Volatility persistence | 0.8003 | 0.50 |
Spline Coefficients
K=1
| γ1 | 0.3880 | 0.36 |
Persistence:
0.800
Half-life:
3 days
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