S&P/BMV IPC VIX Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Friday, October 23rd, 2026
1 Day
49.27%
increased by 1.65%
1 Week
57.84%
increased by 10.22%
1 Month
65.37%
increased by 17.75%
Analysis last updated: Friday, October 23, 2026 at 08:59 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 Oct 22, 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
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Time-varying baseline: volatility reverts to a slowly-shifting spline trend
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.2932 | 2.81*** |
| αARCH | 0.3246 | 2.64*** |
| βGARCH | 0.4090 | 3.82*** |
Spline Coefficients
K=8
| γ1 | -1.2223 | -3.20*** |
| γ2 | 2.1947 | 3.06*** |
| γ3 | -1.4809 | -1.98** |
| γ4 | 0.9582 | 1.46 |
| γ5 | -0.9566 | -1.31 |
| γ6 | 0.7598 | 0.74 |
| γ7 | -0.2993 | -0.27 |
| γ8 | 0.0675 | 0.09 |
0.734
Persistence2d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.2932 | 2.81*** |
α ARCH Response to squared shocks | 0.3246 | 2.64*** |
β GARCH Volatility persistence | 0.4090 | 3.82*** |
Spline Coefficients
K=8
| γ1 | -1.2223 | -3.20*** |
| γ2 | 2.1947 | 3.06*** |
| γ3 | -1.4809 | -1.98** |
| γ4 | 0.9582 | 1.46 |
| γ5 | -0.9566 | -1.31 |
| γ6 | 0.7598 | 0.74 |
| γ7 | -0.2993 | -0.27 |
| γ8 | 0.0675 | 0.09 |
Persistence:
0.734
Half-life:
2 days
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