V-Lab
CBOE Skew Index Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Friday, September 11th, 2026
1 Day
40.25%
decreased by 0.45%
1 Week
45.20%
increased by 4.50%
1 Month
50.89%
increased by 10.19%
Analysis last updated: Friday, September 11, 2026 at 11:30 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Sep 4, 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 3 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 | 2.8412 | 4.22*** |
| αARCH | 0.2655 | 10.99*** |
| βGARCH | 0.5278 | 14.93*** |
Spline Coefficients
K=10
| γ1 | 0.0955 | 2.11** |
| γ2 | -0.0529 | -0.88 |
| γ3 | -0.0810 | -1.91* |
| γ4 | 0.1248 | 2.82*** |
| γ5 | -0.1998 | -5.22*** |
| γ6 | 0.2100 | 5.67*** |
| γ7 | -0.1314 | -3.93*** |
| γ8 | -0.0176 | -0.56 |
| γ9 | 0.1286 | 4.05*** |
| γ10 | -0.1102 | -4.68*** |
0.793
Persistence3d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 2.8412 | 4.22*** |
α ARCH Response to squared shocks | 0.2655 | 10.99*** |
β GARCH Volatility persistence | 0.5278 | 14.93*** |
Spline Coefficients
K=10
| γ1 | 0.0955 | 2.11** |
| γ2 | -0.0529 | -0.88 |
| γ3 | -0.0810 | -1.91* |
| γ4 | 0.1248 | 2.82*** |
| γ5 | -0.1998 | -5.22*** |
| γ6 | 0.2100 | 5.67*** |
| γ7 | -0.1314 | -3.93*** |
| γ8 | -0.0176 | -0.56 |
| γ9 | 0.1286 | 4.05*** |
| γ10 | -0.1102 | -4.68*** |
Persistence:
0.793
Half-life:
3 days
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