V-Lab
S&P 500 Growth Index Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Tuesday, September 22nd, 2026
1 Day
18.66%
increased by 3.12%
1 Week
18.86%
increased by 3.32%
1 Month
19.49%
increased by 3.95%
Analysis last updated: Monday, September 21, 2026 at 11:01 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Oct 29, 1992 to Sep 18, 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 21 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 | 0.7756 | 4.89*** |
| αARCH | 0.1027 | 10.28*** |
| βGARCH | 0.8645 | 72.30*** |
Spline Coefficients
K=7
| γ1 | 0.0924 | 3.20*** |
| γ2 | -0.1983 | -4.84*** |
| γ3 | 0.1851 | 7.27*** |
| γ4 | -0.1329 | -5.41*** |
| γ5 | 0.0888 | 3.06*** |
| γ6 | -0.0338 | -1.20 |
| γ7 | -0.0123 | -0.62 |
0.967
Persistence21d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.7756 | 4.89*** |
α ARCH Response to squared shocks | 0.1027 | 10.28*** |
β GARCH Volatility persistence | 0.8645 | 72.30*** |
Spline Coefficients
K=7
| γ1 | 0.0924 | 3.20*** |
| γ2 | -0.1983 | -4.84*** |
| γ3 | 0.1851 | 7.27*** |
| γ4 | -0.1329 | -5.41*** |
| γ5 | 0.0888 | 3.06*** |
| γ6 | -0.0338 | -1.20 |
| γ7 | -0.0123 | -0.62 |
Persistence:
0.967
Half-life:
21 days
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