Russell 1000 Growth Index Spline-GARCH Volatility Analysis
Volatility prediction for Tuesday, July 21st, 2026
1 Day
21.97%
decreased by 1.15%
1 Week
22.23%
decreased by 0.89%
1 Month
23.12%
increased by 0.00%
Analysis last updated: Tuesday, July 21, 2026 at 12:04 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 12, 2000 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 38 trading days.
τ
Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.2950 | 7.20*** |
α ARCH Response to squared shocks | 0.1060 | 10.45*** |
β GARCH Volatility persistence | 0.8759 | 81.30*** |
Spline Coefficients
K=1
| γ1 | 0.0048 | 3.58*** |
Persistence:
0.982
Half-life:
38 days
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