V-Lab
CBOE NASDAQ-100 Volatility Index Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Thursday, October 1st, 2026
1 Day
84.12%
decreased by 2.00%
1 Week
88.54%
increased by 2.42%
1 Month
96.20%
increased by 10.08%
Analysis last updated: Thursday, October 1, 2026 at 11:36 AM 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 Sep 25, 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
Tap to view equation
Time-varying baseline: volatility reverts to a slowly-shifting spline trend
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.7559 | 8.69*** |
| αARCH | 0.1099 | 7.08*** |
| βGARCH | 0.7593 | 23.20*** |
Spline Coefficients
K=10
| γ1 | 0.0387 | 0.57 |
| γ2 | 0.0394 | 0.36 |
| γ3 | -0.1783 | -1.74* |
| γ4 | 0.1412 | 1.39 |
| γ5 | -0.0601 | -0.74 |
| γ6 | 0.0518 | 0.60 |
| γ7 | -0.0681 | -0.65 |
| γ8 | -0.0246 | -0.24 |
| γ9 | 0.1799 | 2.32** |
| γ10 | -0.1732 | -3.15*** |
0.869
Persistence5d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.7559 | 8.69*** |
α ARCH Response to squared shocks | 0.1099 | 7.08*** |
β GARCH Volatility persistence | 0.7593 | 23.20*** |
Spline Coefficients
K=10
| γ1 | 0.0387 | 0.57 |
| γ2 | 0.0394 | 0.36 |
| γ3 | -0.1783 | -1.74* |
| γ4 | 0.1412 | 1.39 |
| γ5 | -0.0601 | -0.74 |
| γ6 | 0.0518 | 0.60 |
| γ7 | -0.0681 | -0.65 |
| γ8 | -0.0246 | -0.24 |
| γ9 | 0.1799 | 2.32** |
| γ10 | -0.1732 | -3.15*** |
Persistence:
0.869
Half-life:
5 days
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