V-Lab
CBOE VIX Indicative Ask Index Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Monday, October 5th, 2026
1 Day
120.55%
increased by 7.44%
1 Week
130.95%
increased by 17.84%
1 Month
142.36%
increased by 29.25%
Analysis last updated: Monday, October 5, 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 2, 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 | 0.7639 | 5.37*** |
| αARCH | 0.1920 | 4.90*** |
| βGARCH | 0.5825 | 8.84*** |
Spline Coefficients
K=8
| γ1 | -0.1222 | -0.75 |
| γ2 | 0.1529 | 0.62 |
| γ3 | -0.0190 | -0.12 |
| γ4 | -0.0489 | -0.33 |
| γ5 | 0.1028 | 0.69 |
| γ6 | -0.2501 | -1.53 |
| γ7 | 0.4325 | 2.91*** |
| γ8 | -0.3611 | -4.28*** |
0.774
Persistence3d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.7639 | 5.37*** |
α ARCH Response to squared shocks | 0.1920 | 4.90*** |
β GARCH Volatility persistence | 0.5825 | 8.84*** |
Spline Coefficients
K=8
| γ1 | -0.1222 | -0.75 |
| γ2 | 0.1529 | 0.62 |
| γ3 | -0.0190 | -0.12 |
| γ4 | -0.0489 | -0.33 |
| γ5 | 0.1028 | 0.69 |
| γ6 | -0.2501 | -1.53 |
| γ7 | 0.4325 | 2.91*** |
| γ8 | -0.3611 | -4.28*** |
Persistence:
0.774
Half-life:
3 days
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