V-Lab
S&P/BMV IPC VIX Spline-GARCH Volatility Analysis
Volatility prediction for Friday, September 11th, 2026
1 Day
22.51%
decreased by 0.46%
1 Week
25.84%
increased by 2.87%
1 Month
28.38%
increased by 5.41%
Analysis last updated: Saturday, September 12, 2026 at 12:48 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 2015 to Sep 10, 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
Spline-GARCH Model
Tap to view equation
Time-varying baseline: volatility reverts to a slowly-shifting spline trend
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.1163 | 3.28*** |
| αARCH | 0.3082 | 2.64*** |
| βGARCH | 0.3811 | 3.50*** |
Spline Coefficients
K=10
| γ1 | -1.7200 | -2.23** |
| γ2 | 2.2865 | 1.63 |
| γ3 | -0.0038 | 0.00 |
| γ4 | -1.3804 | -1.38 |
| γ5 | 1.8339 | 1.68* |
| γ6 | -2.1478 | -1.72* |
| γ7 | 1.8309 | 1.35 |
| γ8 | -1.1167 | -0.84 |
| γ9 | 1.2114 | 0.59 |
| γ10 | -3.1464 | -1.21 |
0.689
Persistence2d
Half-lifeτ
Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.1163 | 3.28*** |
α ARCH Response to squared shocks | 0.3082 | 2.64*** |
β GARCH Volatility persistence | 0.3811 | 3.50*** |
Spline Coefficients
K=10
| γ1 | -1.7200 | -2.23** |
| γ2 | 2.2865 | 1.63 |
| γ3 | -0.0038 | 0.00 |
| γ4 | -1.3804 | -1.38 |
| γ5 | 1.8339 | 1.68* |
| γ6 | -2.1478 | -1.72* |
| γ7 | 1.8309 | 1.35 |
| γ8 | -1.1167 | -0.84 |
| γ9 | 1.2114 | 0.59 |
| γ10 | -3.1464 | -1.21 |
Persistence:
0.689
Half-life:
2 days
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