V-Lab
CBOE S&P 500 9-Day Volatility Index Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Friday, September 11th, 2026
1 Day
229.20%
increased by 1.20%
1 Week
234.63%
increased by 6.63%
1 Month
238.88%
increased by 10.88%
Analysis last updated: Friday, September 11, 2026 at 11:30 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 3, 2011 to Sep 4, 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 | 6.89*** |
| αARCH | 0.1211 | 3.53*** |
| βGARCH | 0.5488 | 5.99*** |
Spline Coefficients
K=7
| γ1 | 0.0901 | 0.91 |
| γ2 | -0.0841 | -0.58 |
| γ3 | -0.0474 | -0.45 |
| γ4 | 0.0874 | 0.89 |
| γ5 | -0.1789 | -1.76* |
| γ6 | 0.3213 | 3.66*** |
| γ7 | -0.2767 | -4.85*** |
0.670
Persistence2d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.9925 | 6.89*** |
α ARCH Response to squared shocks | 0.1211 | 3.53*** |
β GARCH Volatility persistence | 0.5488 | 5.99*** |
Spline Coefficients
K=7
| γ1 | 0.0901 | 0.91 |
| γ2 | -0.0841 | -0.58 |
| γ3 | -0.0474 | -0.45 |
| γ4 | 0.0874 | 0.89 |
| γ5 | -0.1789 | -1.76* |
| γ6 | 0.3213 | 3.66*** |
| γ7 | -0.2767 | -4.85*** |
Persistence:
0.670
Half-life:
2 days
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