V-Lab
Shanghai Shenzhen CSI 300 Index Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Thursday, October 8th, 2026
1 Day
17.13%
decreased by 0.49%
1 Week
17.31%
decreased by 0.31%
1 Month
17.94%
increased by 0.32%
Analysis last updated: Wednesday, September 30, 2026 at 08:30 AM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Apr 8, 2005 to Sep 30, 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 49 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 | 0.9445 | 5.13*** |
| αARCH | 0.0680 | 5.58*** |
| βGARCH | 0.9180 | 67.91*** |
Spline Coefficients
K=3
| γ1 | -0.0447 | -3.42*** |
| γ2 | 0.0695 | 3.49*** |
| γ3 | -0.0305 | -2.62*** |
0.986
Persistence49d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.9445 | 5.13*** |
α ARCH Response to squared shocks | 0.0680 | 5.58*** |
β GARCH Volatility persistence | 0.9180 | 67.91*** |
Spline Coefficients
K=3
| γ1 | -0.0447 | -3.42*** |
| γ2 | 0.0695 | 3.49*** |
| γ3 | -0.0305 | -2.62*** |
Persistence:
0.986
Half-life:
49 days
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