Invesco QQQ Trust Series 1 Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Tuesday, October 20th, 2026
1 Day
20.62%
decreased by 0.12%
1 Week
20.70%
decreased by 0.04%
1 Month
20.95%
increased by 0.21%
Analysis last updated: Monday, October 19, 2026 at 09:21 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Mar 10, 1999 to Oct 16, 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 19 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 | 1.1285 | 7.12*** |
| αARCH | 0.0968 | 9.16*** |
| βGARCH | 0.8678 | 66.28*** |
Spline Coefficients
K=7
| γ1 | -0.2354 | -6.61*** |
| γ2 | 0.3898 | 7.38*** |
| γ3 | -0.2357 | -6.26*** |
| γ4 | 0.1195 | 3.00*** |
| γ5 | -0.0225 | -0.52 |
| γ6 | -0.0340 | -0.81 |
| γ7 | 0.0188 | 0.62 |
0.965
Persistence19d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.1285 | 7.12*** |
α ARCH Response to squared shocks | 0.0968 | 9.16*** |
β GARCH Volatility persistence | 0.8678 | 66.28*** |
Spline Coefficients
K=7
| γ1 | -0.2354 | -6.61*** |
| γ2 | 0.3898 | 7.38*** |
| γ3 | -0.2357 | -6.26*** |
| γ4 | 0.1195 | 3.00*** |
| γ5 | -0.0225 | -0.52 |
| γ6 | -0.0340 | -0.81 |
| γ7 | 0.0188 | 0.62 |
Persistence:
0.965
Half-life:
19 days
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