Columbia Research Enhanced Small Cap ETF Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Tuesday, July 21st, 2026
1 Day
14.85%
unchanged at 0.00%
1 Week
14.87%
increased by 0.02%
1 Month
14.94%
increased by 0.09%
Analysis last updated: Monday, July 20, 2026 at 09:47 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Dec 11, 2025 to Jul 17, 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 55 trading days.
τ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.8172 | 3.16*** |
α ARCH Response to squared shocks | 0.0000 | 0.00 |
β GARCH Volatility persistence | 0.9875 | 8.04*** |
Spline Coefficients
K=2
| γ1 | -21.2568 | -0.60 |
| γ2 | 27.5170 | 0.64 |
Persistence:
0.987
Half-life:
55 days
Other Columbia Research Enhanced Small Cap ETF Analyses
Other Zero Slope Spline-GARCH Analyses on ETFs