CBOE S&P 500 9-Day Volatility Index Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Friday, October 16th, 2026
1 Day
214.98%
decreased by 11.35%
1 Week
222.36%
decreased by 3.97%
1 Month
228.11%
increased by 1.78%
Analysis last updated: Friday, October 16, 2026 at 11:31 AM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 3, 2011 to Oct 9, 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 2 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 | 0.9925 | 6.88*** |
| αARCH | 0.1205 | 3.54*** |
| βGARCH | 0.5507 | 6.04*** |
Spline Coefficients
K=7
| γ1 | 0.0896 | 0.91 |
| γ2 | -0.0845 | -0.59 |
| γ3 | -0.0452 | -0.43 |
| γ4 | 0.0827 | 0.85 |
| γ5 | -0.1692 | -1.68* |
| γ6 | 0.3084 | 3.52*** |
| γ7 | -0.2672 | -4.84*** |
0.671
Persistence2d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.9925 | 6.88*** |
α ARCH Response to squared shocks | 0.1205 | 3.54*** |
β GARCH Volatility persistence | 0.5507 | 6.04*** |
Spline Coefficients
K=7
| γ1 | 0.0896 | 0.91 |
| γ2 | -0.0845 | -0.59 |
| γ3 | -0.0452 | -0.43 |
| γ4 | 0.0827 | 0.85 |
| γ5 | -0.1692 | -1.68* |
| γ6 | 0.3084 | 3.52*** |
| γ7 | -0.2672 | -4.84*** |
Persistence:
0.671
Half-life:
2 days
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