Proshares S&P 500 EX-Technology ETF Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Tuesday, October 20th, 2026
1 Day
8.86%
decreased by 0.35%
1 Week
9.09%
decreased by 0.12%
1 Month
9.61%
increased by 0.40%
Analysis last updated: Monday, October 19, 2026 at 09:55 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Sep 24, 2015 to Oct 16, 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 8 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 | 0.9342 | 2.59*** |
| αARCH | 0.0943 | 4.30*** |
| βGARCH | 0.8240 | 23.63*** |
Spline Coefficients
K=10
| γ1 | -0.3282 | -0.28 |
| γ2 | 1.5764 | 0.93 |
| γ3 | -2.4859 | -2.26** |
| γ4 | 2.0856 | 2.21** |
| γ5 | -1.7412 | -2.07** |
| γ6 | 2.1068 | 2.64*** |
| γ7 | -2.8751 | -4.35*** |
| γ8 | 3.2107 | 4.91*** |
| γ9 | -2.4798 | -3.56*** |
| γ10 | 1.2541 | 2.34** |
0.918
Persistence8d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.9342 | 2.59*** |
α ARCH Response to squared shocks | 0.0943 | 4.30*** |
β GARCH Volatility persistence | 0.8240 | 23.63*** |
Spline Coefficients
K=10
| γ1 | -0.3282 | -0.28 |
| γ2 | 1.5764 | 0.93 |
| γ3 | -2.4859 | -2.26** |
| γ4 | 2.0856 | 2.21** |
| γ5 | -1.7412 | -2.07** |
| γ6 | 2.1068 | 2.64*** |
| γ7 | -2.8751 | -4.35*** |
| γ8 | 3.2107 | 4.91*** |
| γ9 | -2.4798 | -3.56*** |
| γ10 | 1.2541 | 2.34** |
Persistence:
0.918
Half-life:
8 days
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