CBOE Google Volatility Index Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Wednesday, October 21st, 2026
1 Day
76.51%
decreased by 4.91%
1 Week
87.36%
increased by 5.94%
1 Month
91.81%
increased by 10.39%
Analysis last updated: Wednesday, October 21, 2026 at 01:50 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 7, 2011 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 1 trading day.
τ
Zero Slope Spline-GARCH Model
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Time-varying baseline: volatility reverts to a slowly-shifting spline trend
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.3458 | 5.60*** |
| αARCH | 0.2873 | 5.09*** |
| βGARCH | 0.1887 | 2.12** |
Spline Coefficients
K=6
| γ1 | 0.1924 | 2.01** |
| γ2 | -0.2048 | -1.40 |
| γ3 | -0.0801 | -0.72 |
| γ4 | 0.1770 | 1.90* |
| γ5 | -0.1546 | -2.11** |
| γ6 | 0.1122 | 2.34** |
0.476
Persistence1d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.3458 | 5.60*** |
α ARCH Response to squared shocks | 0.2873 | 5.09*** |
β GARCH Volatility persistence | 0.1887 | 2.12** |
Spline Coefficients
K=6
| γ1 | 0.1924 | 2.01** |
| γ2 | -0.2048 | -1.40 |
| γ3 | -0.0801 | -0.72 |
| γ4 | 0.1770 | 1.90* |
| γ5 | -0.1546 | -2.11** |
| γ6 | 0.1122 | 2.34** |
Persistence:
0.476
Half-life:
1 days
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