S&P/TSX Composite Index Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Thursday, November 12th, 2026
1 Day
18.25%
decreased by 0.88%
1 Week
18.05%
decreased by 1.08%
1 Month
17.42%
decreased by 1.71%
Analysis last updated: Wednesday, November 11, 2026 at 10:02 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 1990 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 17 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 | 0.7491 | 4.63*** |
| αARCH | 0.1097 | 9.63*** |
| βGARCH | 0.8514 | 67.23*** |
Spline Coefficients
K=9
| γ1 | 0.0078 | 0.16 |
| γ2 | 0.0597 | 0.89 |
| γ3 | -0.1916 | -4.62*** |
| γ4 | 0.2366 | 6.60*** |
| γ5 | -0.1960 | -5.57*** |
| γ6 | 0.1035 | 2.75*** |
| γ7 | -0.0005 | -0.01 |
| γ8 | -0.0086 | -0.22 |
| γ9 | -0.0278 | -0.98 |
0.961
Persistence17d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.7491 | 4.63*** |
α ARCH Response to squared shocks | 0.1097 | 9.63*** |
β GARCH Volatility persistence | 0.8514 | 67.23*** |
Spline Coefficients
K=9
| γ1 | 0.0078 | 0.16 |
| γ2 | 0.0597 | 0.89 |
| γ3 | -0.1916 | -4.62*** |
| γ4 | 0.2366 | 6.60*** |
| γ5 | -0.1960 | -5.57*** |
| γ6 | 0.1035 | 2.75*** |
| γ7 | -0.0005 | -0.01 |
| γ8 | -0.0086 | -0.22 |
| γ9 | -0.0278 | -0.98 |
Persistence:
0.961
Half-life:
17 days
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