CBOE VIX Indicative Bid Index Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Friday, October 9th, 2026
1 Day
108.35%
decreased by 0.89%
1 Week
118.39%
increased by 9.15%
1 Month
131.01%
increased by 21.77%
Analysis last updated: Friday, October 9, 2026 at 11:33 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 | 0.7489 | 6.15*** |
| αARCH | 0.1430 | 5.44*** |
| βGARCH | 0.6655 | 9.50*** |
Spline Coefficients
K=7
| γ1 | -0.1313 | -1.28 |
| γ2 | 0.1681 | 1.08 |
| γ3 | -0.0437 | -0.37 |
| γ4 | 0.0177 | 0.12 |
| γ5 | -0.1133 | -0.71 |
| γ6 | 0.2531 | 2.26** |
| γ7 | -0.2158 | -3.55*** |
0.809
Persistence3d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.7489 | 6.15*** |
α ARCH Response to squared shocks | 0.1430 | 5.44*** |
β GARCH Volatility persistence | 0.6655 | 9.50*** |
Spline Coefficients
K=7
| γ1 | -0.1313 | -1.28 |
| γ2 | 0.1681 | 1.08 |
| γ3 | -0.0437 | -0.37 |
| γ4 | 0.0177 | 0.12 |
| γ5 | -0.1133 | -0.71 |
| γ6 | 0.2531 | 2.26** |
| γ7 | -0.2158 | -3.55*** |
Persistence:
0.809
Half-life:
3 days
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