Dow Jones Euro Stoxx Index Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Friday, October 23rd, 2026
1 Day
15.38%
increased by 2.31%
1 Week
15.36%
increased by 2.29%
1 Month
15.28%
increased by 2.21%
Analysis last updated: Thursday, October 22, 2026 at 06:21 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 1990 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 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 | 0.8618 | 7.28*** |
| αARCH | 0.1001 | 9.70*** |
| βGARCH | 0.8636 | 70.33*** |
Spline Coefficients
K=10
| γ1 | -0.0743 | -0.91 |
| γ2 | 0.1736 | 1.28 |
| γ3 | -0.1585 | -1.81* |
| γ4 | 0.0256 | 0.41 |
| γ5 | 0.1237 | 2.39** |
| γ6 | -0.1615 | -3.98*** |
| γ7 | 0.0676 | 1.60 |
| γ8 | 0.0540 | 1.11 |
| γ9 | -0.0953 | -1.80* |
| γ10 | 0.0636 | 1.65* |
0.964
Persistence19d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.8618 | 7.28*** |
α ARCH Response to squared shocks | 0.1001 | 9.70*** |
β GARCH Volatility persistence | 0.8636 | 70.33*** |
Spline Coefficients
K=10
| γ1 | -0.0743 | -0.91 |
| γ2 | 0.1736 | 1.28 |
| γ3 | -0.1585 | -1.81* |
| γ4 | 0.0256 | 0.41 |
| γ5 | 0.1237 | 2.39** |
| γ6 | -0.1615 | -3.98*** |
| γ7 | 0.0676 | 1.60 |
| γ8 | 0.0540 | 1.11 |
| γ9 | -0.0953 | -1.80* |
| γ10 | 0.0636 | 1.65* |
Persistence:
0.964
Half-life:
19 days
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