V-Lab
Horizon Small/Mid Cap Core Equity ETF Zero Slope Spline-GARCH Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Wednesday, September 9th, 2026
1 Day
11.74%
1 Week
11.74%
1 Month
11.74%
Analysis last updated: Tuesday, September 8, 2026 at 10:43 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Dec 4, 2025 to Sep 4, 2026Model Insight
Estimated persistence of 1.000 is at or above 1 (non-stationary): volatility shocks do not decay and the long-run variance is undefined, so long-horizon forecasts should be treated with caution.
Zero Slope Spline-GARCH Model
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| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.7955 | 4.05*** |
| αARCH | 0.0000 | 0.00 |
| βGARCH | 1.0000 | 13.95*** |
| γ1 | -12.4933 | -1.67* |
| γ2 | 16.1003 | 1.27 |
1.000
Persistence-
Half-lifeZero Slope Spline-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.7955 | 4.05*** |
α ARCH Response to squared shocks | 0.0000 | 0.00 |
β GARCH Volatility persistence | 1.0000 | 13.95*** |
| γ1 | -12.4933 | -1.67* |
| γ2 | 16.1003 | 1.27 |
Persistence:
1.000
Half-life:
-
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