V-Lab
S&P/BMV IPC VIX Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Friday, October 2nd, 2026
1 Day
49.85%
decreased by 0.34%
1 Week
60.39%
increased by 10.20%
1 Month
68.89%
increased by 18.70%
Analysis last updated: Friday, October 2, 2026 at 09:40 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 2015 to Sep 24, 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 2 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 | 1.2528 | 2.87*** |
| αARCH | 0.3160 | 2.66*** |
| βGARCH | 0.4004 | 3.67*** |
Spline Coefficients
K=8
| γ1 | -1.2483 | -3.24*** |
| γ2 | 2.2334 | 3.08*** |
| γ3 | -1.5040 | -2.01** |
| γ4 | 0.9818 | 1.48 |
| γ5 | -0.9770 | -1.31 |
| γ6 | 0.7558 | 0.72 |
| γ7 | -0.2432 | -0.22 |
| γ8 | -0.0107 | -0.01 |
0.716
Persistence2d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.2528 | 2.87*** |
α ARCH Response to squared shocks | 0.3160 | 2.66*** |
β GARCH Volatility persistence | 0.4004 | 3.67*** |
Spline Coefficients
K=8
| γ1 | -1.2483 | -3.24*** |
| γ2 | 2.2334 | 3.08*** |
| γ3 | -1.5040 | -2.01** |
| γ4 | 0.9818 | 1.48 |
| γ5 | -0.9770 | -1.31 |
| γ6 | 0.7558 | 0.72 |
| γ7 | -0.2432 | -0.22 |
| γ8 | -0.0107 | -0.01 |
Persistence:
0.716
Half-life:
2 days
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