CBOE 3-Month Volatility Index Spline-GARCH Volatility Analysis
Volatility prediction for Thursday, October 29th, 2026
1 Day
46.84%
decreased by 4.09%
1 Week
47.19%
decreased by 3.74%
1 Month
47.78%
decreased by 3.15%
Analysis last updated: Thursday, October 29, 2026 at 11:32 AM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jul 17, 2006 to Oct 23, 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 4 trading days.
τ
Spline-GARCH Model
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Time-varying baseline: volatility reverts to a slowly-shifting spline trend
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.7628 | 4.30*** |
| αARCH | 0.2028 | 6.71*** |
| βGARCH | 0.6502 | 14.45*** |
Spline Coefficients
K=9
| γ1 | -0.3911 | -3.78*** |
| γ2 | 0.5980 | 3.68*** |
| γ3 | -0.3244 | -2.49** |
| γ4 | 0.1992 | 1.54 |
| γ5 | -0.1532 | -1.04 |
| γ6 | 0.2094 | 1.27 |
| γ7 | -0.3925 | -2.16** |
| γ8 | 0.5727 | 3.25*** |
| γ9 | -0.7937 | -2.76*** |
0.853
Persistence4d
Half-lifeτ
Spline-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.7628 | 4.30*** |
α ARCH Response to squared shocks | 0.2028 | 6.71*** |
β GARCH Volatility persistence | 0.6502 | 14.45*** |
Spline Coefficients
K=9
| γ1 | -0.3911 | -3.78*** |
| γ2 | 0.5980 | 3.68*** |
| γ3 | -0.3244 | -2.49** |
| γ4 | 0.1992 | 1.54 |
| γ5 | -0.1532 | -1.04 |
| γ6 | 0.2094 | 1.27 |
| γ7 | -0.3925 | -2.16** |
| γ8 | 0.5727 | 3.25*** |
| γ9 | -0.7937 | -2.76*** |
Persistence:
0.853
Half-life:
4 days
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