CBOE NASDAQ-100 Volatility Index Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Wednesday, October 21st, 2026
1 Day
113.01%
decreased by 8.18%
1 Week
112.24%
decreased by 8.95%
1 Month
110.79%
decreased by 10.40%
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 23, 2001 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 5 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 | 0.7565 | 8.72*** |
| αARCH | 0.1099 | 7.08*** |
| βGARCH | 0.7588 | 23.11*** |
Spline Coefficients
K=10
| γ1 | 0.0404 | 0.60 |
| γ2 | 0.0357 | 0.33 |
| γ3 | -0.1743 | -1.72* |
| γ4 | 0.1373 | 1.36 |
| γ5 | -0.0553 | -0.69 |
| γ6 | 0.0461 | 0.54 |
| γ7 | -0.0644 | -0.62 |
| γ8 | -0.0253 | -0.24 |
| γ9 | 0.1819 | 2.35** |
| γ10 | -0.1780 | -3.34*** |
0.869
Persistence5d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.7565 | 8.72*** |
α ARCH Response to squared shocks | 0.1099 | 7.08*** |
β GARCH Volatility persistence | 0.7588 | 23.11*** |
Spline Coefficients
K=10
| γ1 | 0.0404 | 0.60 |
| γ2 | 0.0357 | 0.33 |
| γ3 | -0.1743 | -1.72* |
| γ4 | 0.1373 | 1.36 |
| γ5 | -0.0553 | -0.69 |
| γ6 | 0.0461 | 0.54 |
| γ7 | -0.0644 | -0.62 |
| γ8 | -0.0253 | -0.24 |
| γ9 | 0.1819 | 2.35** |
| γ10 | -0.1780 | -3.34*** |
Persistence:
0.869
Half-life:
5 days
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