CBOE Goldman Sachs Volatility Index Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Friday, October 30th, 2026
1 Day
86.09%
increased by 1.49%
1 Week
85.80%
increased by 1.20%
1 Month
85.36%
increased by 0.76%
Analysis last updated: Friday, October 30, 2026 at 11:30 AM 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 23, 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 4 trading days.
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 | 1.5474 | 7.61*** |
| αARCH | 0.1676 | 6.78*** |
| βGARCH | 0.6529 | 13.54*** |
Spline Coefficients
K=4
| γ1 | 0.1635 | 5.68*** |
| γ2 | -0.2317 | -5.30*** |
| γ3 | 0.0805 | 2.78*** |
| γ4 | -0.0066 | -0.36 |
0.821
Persistence4d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.5474 | 7.61*** |
α ARCH Response to squared shocks | 0.1676 | 6.78*** |
β GARCH Volatility persistence | 0.6529 | 13.54*** |
Spline Coefficients
K=4
| γ1 | 0.1635 | 5.68*** |
| γ2 | -0.2317 | -5.30*** |
| γ3 | 0.0805 | 2.78*** |
| γ4 | -0.0066 | -0.36 |
Persistence:
0.821
Half-life:
4 days
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