CBOE Skew Index Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Wednesday, October 21st, 2026
1 Day
47.67%
decreased by 8.98%
1 Week
48.50%
decreased by 8.15%
1 Month
49.57%
decreased by 7.08%
Analysis last updated: Wednesday, October 21, 2026 at 01:35 PM UTC
Press Delete or Backspace to remove this series.
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Oct 16, 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 | 2.8534 | 4.25*** |
| αARCH | 0.2646 | 10.99*** |
| βGARCH | 0.5305 | 15.04*** |
Spline Coefficients
K=10
| γ1 | 0.0950 | 2.12** |
| γ2 | -0.0525 | -0.88 |
| γ3 | -0.0799 | -1.91* |
| γ4 | 0.1220 | 2.77*** |
| γ5 | -0.1969 | -5.17*** |
| γ6 | 0.2099 | 5.67*** |
| γ7 | -0.1360 | -4.08*** |
| γ8 | -0.0100 | -0.32 |
| γ9 | 0.1220 | 3.93*** |
| γ10 | -0.1066 | -4.66*** |
0.795
Persistence3d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 2.8534 | 4.25*** |
α ARCH Response to squared shocks | 0.2646 | 10.99*** |
β GARCH Volatility persistence | 0.5305 | 15.04*** |
Spline Coefficients
K=10
| γ1 | 0.0950 | 2.12** |
| γ2 | -0.0525 | -0.88 |
| γ3 | -0.0799 | -1.91* |
| γ4 | 0.1220 | 2.77*** |
| γ5 | -0.1969 | -5.17*** |
| γ6 | 0.2099 | 5.67*** |
| γ7 | -0.1360 | -4.08*** |
| γ8 | -0.0100 | -0.32 |
| γ9 | 0.1220 | 3.93*** |
| γ10 | -0.1066 | -4.66*** |
Persistence:
0.795
Half-life:
3 days
Other CBOE Skew Index Analyses
Other Zero Slope Spline-GARCH Analyses on Volatility Indices