S&P/TSX 60 Index Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Wednesday, November 11th, 2026
1 Day
18.05%
decreased by 0.88%
1 Week
17.84%
decreased by 1.09%
1 Month
17.16%
decreased by 1.77%
Analysis last updated: Wednesday, November 11, 2026 at 09:55 AM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 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 19 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 | 0.7789 | 4.97*** |
| αARCH | 0.0981 | 9.30*** |
| βGARCH | 0.8668 | 74.29*** |
Spline Coefficients
K=9
| γ1 | -0.0004 | -0.01 |
| γ2 | 0.0731 | 1.21 |
| γ3 | -0.1995 | -5.14*** |
| γ4 | 0.2326 | 6.76*** |
| γ5 | -0.1751 | -4.98*** |
| γ6 | 0.0821 | 2.25** |
| γ7 | 0.0064 | 0.18 |
| γ8 | -0.0109 | -0.30 |
| γ9 | -0.0216 | -0.85 |
0.965
Persistence19d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.7789 | 4.97*** |
α ARCH Response to squared shocks | 0.0981 | 9.30*** |
β GARCH Volatility persistence | 0.8668 | 74.29*** |
Spline Coefficients
K=9
| γ1 | -0.0004 | -0.01 |
| γ2 | 0.0731 | 1.21 |
| γ3 | -0.1995 | -5.14*** |
| γ4 | 0.2326 | 6.76*** |
| γ5 | -0.1751 | -4.98*** |
| γ6 | 0.0821 | 2.25** |
| γ7 | 0.0064 | 0.18 |
| γ8 | -0.0109 | -0.30 |
| γ9 | -0.0216 | -0.85 |
Persistence:
0.965
Half-life:
19 days
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