CBOE S&P 500 Spot Volatility Index Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Monday, October 26th, 2026
1 Day
214.43%
decreased by 12.88%
1 Week
218.82%
decreased by 8.49%
1 Month
225.27%
decreased by 2.04%
Analysis last updated: Monday, October 26, 2026 at 11:33 AM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 3, 2006 to Oct 23, 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 4 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 | 0.7700 | 5.84*** |
| αARCH | 0.1346 | 7.25*** |
| βGARCH | 0.6920 | 16.62*** |
Spline Coefficients
K=3
| γ1 | 0.0205 | 2.36** |
| γ2 | -0.0384 | -3.34*** |
| γ3 | 0.0227 | 4.24*** |
0.827
Persistence4d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.7700 | 5.84*** |
α ARCH Response to squared shocks | 0.1346 | 7.25*** |
β GARCH Volatility persistence | 0.6920 | 16.62*** |
Spline Coefficients
K=3
| γ1 | 0.0205 | 2.36** |
| γ2 | -0.0384 | -3.34*** |
| γ3 | 0.0227 | 4.24*** |
Persistence:
0.827
Half-life:
4 days
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