V-Lab
CBOE VIX Indicative Bid Index Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Thursday, October 1st, 2026
1 Day
111.99%
decreased by 3.63%
1 Week
120.17%
increased by 4.55%
1 Month
130.75%
increased by 15.13%
Analysis last updated: Thursday, October 1, 2026 at 11:34 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 Sep 25, 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 | 0.7412 | 5.55*** |
| αARCH | 0.1442 | 5.43*** |
| βGARCH | 0.6665 | 9.72*** |
Spline Coefficients
K=8
| γ1 | -0.1592 | -1.05 |
| γ2 | 0.1835 | 0.81 |
| γ3 | -0.0012 | -0.01 |
| γ4 | -0.0641 | -0.39 |
| γ5 | 0.0829 | 0.61 |
| γ6 | -0.1906 | -1.30 |
| γ7 | 0.3815 | 2.73*** |
| γ8 | -0.3423 | -4.18*** |
0.811
Persistence3d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.7412 | 5.55*** |
α ARCH Response to squared shocks | 0.1442 | 5.43*** |
β GARCH Volatility persistence | 0.6665 | 9.72*** |
Spline Coefficients
K=8
| γ1 | -0.1592 | -1.05 |
| γ2 | 0.1835 | 0.81 |
| γ3 | -0.0012 | -0.01 |
| γ4 | -0.0641 | -0.39 |
| γ5 | 0.0829 | 0.61 |
| γ6 | -0.1906 | -1.30 |
| γ7 | 0.3815 | 2.73*** |
| γ8 | -0.3423 | -4.18*** |
Persistence:
0.811
Half-life:
3 days
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