V-Lab
CBOE VIX Indicative Ask Index Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Monday, September 14th, 2026
1 Day
146.52%
increased by 17.43%
1 Week
147.32%
increased by 18.23%
1 Month
148.28%
increased by 19.19%
Analysis last updated: Monday, September 14, 2026 at 03:14 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Sep 18, 2009 to Sep 11, 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 | 0.7634 | 5.37*** |
| αARCH | 0.1921 | 4.91*** |
| βGARCH | 0.5820 | 8.82*** |
Spline Coefficients
K=8
| γ1 | -0.1220 | -0.75 |
| γ2 | 0.1516 | 0.61 |
| γ3 | -0.0159 | -0.10 |
| γ4 | -0.0545 | -0.37 |
| γ5 | 0.1134 | 0.76 |
| γ6 | -0.2680 | -1.64 |
| γ7 | 0.4538 | 3.08*** |
| γ8 | -0.3756 | -4.48*** |
0.774
Persistence3d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.7634 | 5.37*** |
α ARCH Response to squared shocks | 0.1921 | 4.91*** |
β GARCH Volatility persistence | 0.5820 | 8.82*** |
Spline Coefficients
K=8
| γ1 | -0.1220 | -0.75 |
| γ2 | 0.1516 | 0.61 |
| γ3 | -0.0159 | -0.10 |
| γ4 | -0.0545 | -0.37 |
| γ5 | 0.1134 | 0.76 |
| γ6 | -0.2680 | -1.64 |
| γ7 | 0.4538 | 3.08*** |
| γ8 | -0.3756 | -4.48*** |
Persistence:
0.774
Half-life:
3 days
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