V-Lab
S&P/TSX Composite Index Spline-GARCH Volatility Analysis
Volatility prediction for Thursday, September 10th, 2026
1 Day
13.29%
decreased by 0.38%
1 Week
13.32%
decreased by 0.35%
1 Month
13.43%
decreased by 0.24%
Analysis last updated: Wednesday, September 9, 2026 at 09:06 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 1990 to Sep 8, 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
Spline-GARCH Model
Tap to view equation
Time-varying baseline: volatility reverts to a slowly-shifting spline trend
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.7350 | 4.53*** |
| αARCH | 0.1100 | 9.62*** |
| βGARCH | 0.8509 | 66.90*** |
Spline Coefficients
K=9
| γ1 | -0.0005 | -0.01 |
| γ2 | 0.0765 | 1.13 |
| γ3 | -0.2095 | -5.07*** |
| γ4 | 0.2535 | 7.13*** |
| γ5 | -0.2077 | -5.86*** |
| γ6 | 0.1101 | 2.90*** |
| γ7 | -0.0080 | -0.20 |
| γ8 | 0.0063 | 0.15 |
| γ9 | -0.0590 | -0.90 |
0.961
Persistence17d
Half-lifeτ
Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.7350 | 4.53*** |
α ARCH Response to squared shocks | 0.1100 | 9.62*** |
β GARCH Volatility persistence | 0.8509 | 66.90*** |
Spline Coefficients
K=9
| γ1 | -0.0005 | -0.01 |
| γ2 | 0.0765 | 1.13 |
| γ3 | -0.2095 | -5.07*** |
| γ4 | 0.2535 | 7.13*** |
| γ5 | -0.2077 | -5.86*** |
| γ6 | 0.1101 | 2.90*** |
| γ7 | -0.0080 | -0.20 |
| γ8 | 0.0063 | 0.15 |
| γ9 | -0.0590 | -0.90 |
Persistence:
0.961
Half-life:
17 days
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