V-Lab
CBOE Skew Index Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Thursday, October 1st, 2026
1 Day
39.77%
increased by 1.92%
1 Week
44.92%
increased by 7.07%
1 Month
50.82%
increased by 12.97%
Analysis last updated: Thursday, October 1, 2026 at 11:31 AM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Sep 25, 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 | 2.8481 | 4.24*** |
| αARCH | 0.2651 | 10.99*** |
| βGARCH | 0.5285 | 14.95*** |
Spline Coefficients
K=10
| γ1 | 0.0954 | 2.12** |
| γ2 | -0.0530 | -0.89 |
| γ3 | -0.0802 | -1.91* |
| γ4 | 0.1233 | 2.80*** |
| γ5 | -0.1984 | -5.21*** |
| γ6 | 0.2102 | 5.69*** |
| γ7 | -0.1340 | -4.02*** |
| γ8 | -0.0137 | -0.44 |
| γ9 | 0.1252 | 3.99*** |
| γ10 | -0.1083 | -4.67*** |
0.794
Persistence3d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 2.8481 | 4.24*** |
α ARCH Response to squared shocks | 0.2651 | 10.99*** |
β GARCH Volatility persistence | 0.5285 | 14.95*** |
Spline Coefficients
K=10
| γ1 | 0.0954 | 2.12** |
| γ2 | -0.0530 | -0.89 |
| γ3 | -0.0802 | -1.91* |
| γ4 | 0.1233 | 2.80*** |
| γ5 | -0.1984 | -5.21*** |
| γ6 | 0.2102 | 5.69*** |
| γ7 | -0.1340 | -4.02*** |
| γ8 | -0.0137 | -0.44 |
| γ9 | 0.1252 | 3.99*** |
| γ10 | -0.1083 | -4.67*** |
Persistence:
0.794
Half-life:
3 days
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