State Street SPDR S&P 500 ETF Trust Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Tuesday, October 20th, 2026
1 Day
12.14%
decreased by 0.32%
1 Week
12.52%
increased by 0.06%
1 Month
13.63%
increased by 1.17%
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
Jan 29, 1993 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 18 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 | 0.7150 | 4.71*** |
| αARCH | 0.1117 | 9.79*** |
| βGARCH | 0.8507 | 63.50*** |
Spline Coefficients
K=7
| γ1 | 0.0577 | 1.86* |
| γ2 | -0.1437 | -3.32*** |
| γ3 | 0.1612 | 6.42*** |
| γ4 | -0.1379 | -5.89*** |
| γ5 | 0.1057 | 3.64*** |
| γ6 | -0.0513 | -1.76* |
| γ7 | 0.0049 | 0.23 |
0.962
Persistence18d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.7150 | 4.71*** |
α ARCH Response to squared shocks | 0.1117 | 9.79*** |
β GARCH Volatility persistence | 0.8507 | 63.50*** |
Spline Coefficients
K=7
| γ1 | 0.0577 | 1.86* |
| γ2 | -0.1437 | -3.32*** |
| γ3 | 0.1612 | 6.42*** |
| γ4 | -0.1379 | -5.89*** |
| γ5 | 0.1057 | 3.64*** |
| γ6 | -0.0513 | -1.76* |
| γ7 | 0.0049 | 0.23 |
Persistence:
0.962
Half-life:
18 days
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