S&P GSCI Brent Crude Oil Index Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Thursday, November 12th, 2026
1 Day
58.46%
decreased by 2.76%
1 Week
57.90%
decreased by 3.32%
1 Month
55.88%
decreased by 5.34%
Analysis last updated: Thursday, November 12, 2026 at 12:09 AM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 8, 1999 to Nov 6, 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 36 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 | 1.1468 | 6.80*** |
| αARCH | 0.0795 | 6.90*** |
| βGARCH | 0.9016 | 70.95*** |
Spline Coefficients
K=3
| γ1 | -0.0067 | -1.23 |
| γ2 | 0.0164 | 2.03** |
| γ3 | -0.0142 | -3.23*** |
0.981
Persistence36d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.1468 | 6.80*** |
α ARCH Response to squared shocks | 0.0795 | 6.90*** |
β GARCH Volatility persistence | 0.9016 | 70.95*** |
Spline Coefficients
K=3
| γ1 | -0.0067 | -1.23 |
| γ2 | 0.0164 | 2.03** |
| γ3 | -0.0142 | -3.23*** |
Persistence:
0.981
Half-life:
36 days
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