Invesco QQQ Trust Series 1 Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Monday, October 12th, 2026
1 Day
16.04%
decreased by 0.41%
1 Week
16.47%
increased by 0.02%
1 Month
17.77%
increased by 1.32%
Analysis last updated: Saturday, October 10, 2026 at 12:10 AM 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 9, 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 | 1.1246 | 7.11*** |
| αARCH | 0.0967 | 9.15*** |
| βGARCH | 0.8679 | 66.26*** |
Spline Coefficients
K=7
| γ1 | -0.2369 | -6.64*** |
| γ2 | 0.3919 | 7.40*** |
| γ3 | -0.2363 | -6.25*** |
| γ4 | 0.1191 | 2.97*** |
| γ5 | -0.0213 | -0.49 |
| γ6 | -0.0361 | -0.86 |
| γ7 | 0.0209 | 0.69 |
0.965
Persistence19d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.1246 | 7.11*** |
α ARCH Response to squared shocks | 0.0967 | 9.15*** |
β GARCH Volatility persistence | 0.8679 | 66.26*** |
Spline Coefficients
K=7
| γ1 | -0.2369 | -6.64*** |
| γ2 | 0.3919 | 7.40*** |
| γ3 | -0.2363 | -6.25*** |
| γ4 | 0.1191 | 2.97*** |
| γ5 | -0.0213 | -0.49 |
| γ6 | -0.0361 | -0.86 |
| γ7 | 0.0209 | 0.69 |
Persistence:
0.965
Half-life:
19 days
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