V-Lab
S&P/TSX 60 Index Spline-GARCH Volatility Analysis
Volatility prediction for Monday, September 14th, 2026
1 Day
12.90%
decreased by 0.32%
1 Week
12.89%
decreased by 0.33%
1 Month
12.84%
decreased by 0.38%
Analysis last updated: Saturday, September 12, 2026 at 08:55 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Sep 11, 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
Spline-GARCH Model
Tap to view equation
Time-varying baseline: volatility reverts to a slowly-shifting spline trend
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.7540 | 4.83*** |
| αARCH | 0.0986 | 9.28*** |
| βGARCH | 0.8660 | 73.68*** |
Spline Coefficients
K=9
| γ1 | -0.0138 | -0.32 |
| γ2 | 0.0966 | 1.59 |
| γ3 | -0.2186 | -5.63*** |
| γ4 | 0.2488 | 7.27*** |
| γ5 | -0.1869 | -5.30*** |
| γ6 | 0.0903 | 2.46** |
| γ7 | -0.0034 | -0.09 |
| γ8 | 0.0072 | 0.18 |
| γ9 | -0.0633 | -1.07 |
0.965
Persistence19d
Half-lifeτ
Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.7540 | 4.83*** |
α ARCH Response to squared shocks | 0.0986 | 9.28*** |
β GARCH Volatility persistence | 0.8660 | 73.68*** |
Spline Coefficients
K=9
| γ1 | -0.0138 | -0.32 |
| γ2 | 0.0966 | 1.59 |
| γ3 | -0.2186 | -5.63*** |
| γ4 | 0.2488 | 7.27*** |
| γ5 | -0.1869 | -5.30*** |
| γ6 | 0.0903 | 2.46** |
| γ7 | -0.0034 | -0.09 |
| γ8 | 0.0072 | 0.18 |
| γ9 | -0.0633 | -1.07 |
Persistence:
0.965
Half-life:
19 days
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