V-Lab
CBOE VIX Indicative Bid Index Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Friday, September 11th, 2026
1 Day
121.08%
increased by 6.17%
1 Week
126.57%
increased by 11.66%
1 Month
133.86%
increased by 18.95%
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
Sep 18, 2009 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 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 | 0.7405 | 5.54*** |
| αARCH | 0.1440 | 5.44*** |
| βGARCH | 0.6665 | 9.65*** |
Spline Coefficients
K=8
| γ1 | -0.1602 | -1.05 |
| γ2 | 0.1844 | 0.81 |
| γ3 | -0.0010 | -0.01 |
| γ4 | -0.0644 | -0.40 |
| γ5 | 0.0860 | 0.63 |
| γ6 | -0.2008 | -1.35 |
| γ7 | 0.3961 | 2.82*** |
| γ8 | -0.3519 | -4.27*** |
0.810
Persistence3d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.7405 | 5.54*** |
α ARCH Response to squared shocks | 0.1440 | 5.44*** |
β GARCH Volatility persistence | 0.6665 | 9.65*** |
Spline Coefficients
K=8
| γ1 | -0.1602 | -1.05 |
| γ2 | 0.1844 | 0.81 |
| γ3 | -0.0010 | -0.01 |
| γ4 | -0.0644 | -0.40 |
| γ5 | 0.0860 | 0.63 |
| γ6 | -0.2008 | -1.35 |
| γ7 | 0.3961 | 2.82*** |
| γ8 | -0.3519 | -4.27*** |
Persistence:
0.810
Half-life:
3 days
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