V-Lab
Dow Jones Euro Stoxx Index Spline-GARCH Volatility Analysis
Volatility prediction for Thursday, September 10th, 2026
1 Day
11.14%
increased by 2.27%
1 Week
11.22%
increased by 2.35%
1 Month
11.46%
increased by 2.59%
Analysis last updated: Wednesday, September 9, 2026 at 06:22 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 1990 to Sep 8, 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
Spline-GARCH Model
Tap to view equation
Time-varying baseline: volatility reverts to a slowly-shifting spline trend
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.9527 | 5.05*** |
| αARCH | 0.0996 | 9.39*** |
| βGARCH | 0.8652 | 71.19*** |
Spline Coefficients
K=8
| γ1 | -0.0188 | -0.57 |
| γ2 | 0.0804 | 1.32 |
| γ3 | -0.1471 | -3.34*** |
| γ4 | 0.1681 | 6.06*** |
| γ5 | -0.1461 | -6.19*** |
| γ6 | 0.0875 | 3.17*** |
| γ7 | -0.0142 | -0.47 |
| γ8 | -0.0540 | -1.26 |
0.965
Persistence19d
Half-lifeτ
Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.9527 | 5.05*** |
α ARCH Response to squared shocks | 0.0996 | 9.39*** |
β GARCH Volatility persistence | 0.8652 | 71.19*** |
Spline Coefficients
K=8
| γ1 | -0.0188 | -0.57 |
| γ2 | 0.0804 | 1.32 |
| γ3 | -0.1471 | -3.34*** |
| γ4 | 0.1681 | 6.06*** |
| γ5 | -0.1461 | -6.19*** |
| γ6 | 0.0875 | 3.17*** |
| γ7 | -0.0142 | -0.47 |
| γ8 | -0.0540 | -1.26 |
Persistence:
0.965
Half-life:
19 days
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