V-Lab
Invesco QQQ Trust Series 1 Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Tuesday, July 28th, 2026
1 Day
21.25%
decreased by 1.07%
1 Week
21.30%
decreased by 1.02%
1 Month
21.43%
decreased by 0.89%
Analysis last updated: Monday, July 27, 2026 at 09:22 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Mar 10, 1999 to Jul 24, 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 20 trading days.
τ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.1011 | 6.93*** |
α ARCH Response to squared shocks | 0.0968 | 9.12*** |
β GARCH Volatility persistence | 0.8683 | 66.24*** |
Spline Coefficients
K=7
| γ1 | -0.2456 | -6.70*** |
| γ2 | 0.4042 | 7.43*** |
| γ3 | -0.2406 | -6.14*** |
| γ4 | 0.1186 | 2.86*** |
| γ5 | -0.0191 | -0.43 |
| γ6 | -0.0355 | -0.82 |
| γ7 | 0.0177 | 0.57 |
Persistence:
0.965
Half-life:
20 days
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