V-Lab
Shanghai Shenzhen CSI 300 Index Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Friday, September 11th, 2026
1 Day
16.01%
decreased by 0.31%
1 Week
16.23%
decreased by 0.09%
1 Month
17.01%
increased by 0.69%
Analysis last updated: Friday, September 11, 2026 at 05:41 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Apr 8, 2005 to Sep 7, 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 | 0.9423 | 5.11*** |
| αARCH | 0.0677 | 5.55*** |
| βGARCH | 0.9183 | 67.79*** |
Spline Coefficients
K=3
| γ1 | -0.0452 | -3.42*** |
| γ2 | 0.0703 | 3.48*** |
| γ3 | -0.0309 | -2.61*** |
0.986
Persistence49d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.9423 | 5.11*** |
α ARCH Response to squared shocks | 0.0677 | 5.55*** |
β GARCH Volatility persistence | 0.9183 | 67.79*** |
Spline Coefficients
K=3
| γ1 | -0.0452 | -3.42*** |
| γ2 | 0.0703 | 3.48*** |
| γ3 | -0.0309 | -2.61*** |
Persistence:
0.986
Half-life:
49 days
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