CBOE VIX Indicative Bid Index Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Wednesday, October 21st, 2026
1 Day
136.85%
decreased by 8.18%
1 Week
135.13%
decreased by 9.90%
1 Month
132.71%
decreased by 12.32%
Analysis last updated: Wednesday, October 21, 2026 at 01:48 PM 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 16, 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 | 0.7497 | 6.15*** |
| αARCH | 0.1434 | 5.44*** |
| βGARCH | 0.6653 | 9.52*** |
Spline Coefficients
K=7
| γ1 | -0.1307 | -1.28 |
| γ2 | 0.1674 | 1.08 |
| γ3 | -0.0435 | -0.37 |
| γ4 | 0.0172 | 0.12 |
| γ5 | -0.1120 | -0.70 |
| γ6 | 0.2519 | 2.26** |
| γ7 | -0.2152 | -3.62*** |
0.809
Persistence3d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.7497 | 6.15*** |
α ARCH Response to squared shocks | 0.1434 | 5.44*** |
β GARCH Volatility persistence | 0.6653 | 9.52*** |
Spline Coefficients
K=7
| γ1 | -0.1307 | -1.28 |
| γ2 | 0.1674 | 1.08 |
| γ3 | -0.0435 | -0.37 |
| γ4 | 0.0172 | 0.12 |
| γ5 | -0.1120 | -0.70 |
| γ6 | 0.2519 | 2.26** |
| γ7 | -0.2152 | -3.62*** |
Persistence:
0.809
Half-life:
3 days
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