CBOE VIX Indicative Ask Index Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Monday, October 26th, 2026
1 Day
134.76%
decreased by 17.61%
1 Week
136.64%
decreased by 15.73%
1 Month
138.79%
decreased by 13.58%
Analysis last updated: Monday, October 26, 2026 at 11:38 AM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Sep 18, 2009 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 3 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 | 0.7600 | 5.89*** |
| αARCH | 0.1898 | 4.84*** |
| βGARCH | 0.5781 | 8.60*** |
Spline Coefficients
K=7
| γ1 | -0.1132 | -1.03 |
| γ2 | 0.1677 | 0.99 |
| γ3 | -0.0952 | -0.81 |
| γ4 | 0.0981 | 0.90 |
| γ5 | -0.1969 | -1.66* |
| γ6 | 0.3021 | 3.21*** |
| γ7 | -0.2304 | -4.07*** |
0.768
Persistence3d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.7600 | 5.89*** |
α ARCH Response to squared shocks | 0.1898 | 4.84*** |
β GARCH Volatility persistence | 0.5781 | 8.60*** |
Spline Coefficients
K=7
| γ1 | -0.1132 | -1.03 |
| γ2 | 0.1677 | 0.99 |
| γ3 | -0.0952 | -0.81 |
| γ4 | 0.0981 | 0.90 |
| γ5 | -0.1969 | -1.66* |
| γ6 | 0.3021 | 3.21*** |
| γ7 | -0.2304 | -4.07*** |
Persistence:
0.768
Half-life:
3 days
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