V-Lab
Dow Jones Euro Stoxx Index Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Friday, October 2nd, 2026
1 Day
13.50%
increased by 1.96%
1 Week
13.58%
increased by 2.04%
1 Month
13.83%
increased by 2.29%
Analysis last updated: Thursday, October 1, 2026 at 06:14 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 Sep 25, 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
Tap to view equation
Time-varying baseline: volatility reverts to a slowly-shifting spline trend
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.8274 | 6.87*** |
| αARCH | 0.0999 | 9.64*** |
| βGARCH | 0.8635 | 69.97*** |
Spline Coefficients
K=10
| γ1 | -0.0814 | -1.03 |
| γ2 | 0.1810 | 1.36 |
| γ3 | -0.1571 | -1.81* |
| γ4 | 0.0206 | 0.33 |
| γ5 | 0.1298 | 2.53** |
| γ6 | -0.1648 | -4.06*** |
| γ7 | 0.0678 | 1.60 |
| γ8 | 0.0535 | 1.09 |
| γ9 | -0.0928 | -1.74* |
| γ10 | 0.0611 | 1.57 |
0.963
Persistence19d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.8274 | 6.87*** |
α ARCH Response to squared shocks | 0.0999 | 9.64*** |
β GARCH Volatility persistence | 0.8635 | 69.97*** |
Spline Coefficients
K=10
| γ1 | -0.0814 | -1.03 |
| γ2 | 0.1810 | 1.36 |
| γ3 | -0.1571 | -1.81* |
| γ4 | 0.0206 | 0.33 |
| γ5 | 0.1298 | 2.53** |
| γ6 | -0.1648 | -4.06*** |
| γ7 | 0.0678 | 1.60 |
| γ8 | 0.0535 | 1.09 |
| γ9 | -0.0928 | -1.74* |
| γ10 | 0.0611 | 1.57 |
Persistence:
0.963
Half-life:
19 days
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