S&P 500 Equal Weight Index (EWI) Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Thursday, July 16th, 2026
1 Day
11.12%
decreased by 0.32%
1 Week
11.56%
increased by 0.12%
1 Month
12.94%
increased by 1.50%
Analysis last updated: Wednesday, July 15, 2026 at 11:03 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 1990 to Jul 10, 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 25 trading days.
τ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.3474 | 7.36*** |
α ARCH Response to squared shocks | 0.1007 | 9.55*** |
β GARCH Volatility persistence | 0.8721 | 72.46*** |
Spline Coefficients
K=6
| γ1 | 0.0790 | 5.64*** |
| γ2 | -0.1171 | -5.22*** |
| γ3 | 0.0589 | 3.63*** |
| γ4 | -0.0434 | -2.99*** |
| γ5 | 0.0454 | 2.87*** |
| γ6 | -0.0318 | -2.65*** |
Persistence:
0.973
Half-life:
25 days
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