TLT Percentage Price Volatility Index Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Wednesday, October 21st, 2026
1 Day
68.46%
decreased by 2.65%
1 Week
72.10%
increased by 0.99%
1 Month
79.20%
increased by 8.09%
Analysis last updated: Wednesday, October 21, 2026 at 01:51 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 2004 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 6 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 | 0.9607 | 7.55*** |
| αARCH | 0.1544 | 5.12*** |
| βGARCH | 0.7389 | 15.02*** |
Spline Coefficients
K=5
| γ1 | -0.0399 | -1.69* |
| γ2 | 0.0495 | 1.40 |
| γ3 | 0.0273 | 1.00 |
| γ4 | -0.0823 | -3.07*** |
| γ5 | 0.0617 | 3.16*** |
0.893
Persistence6d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.9607 | 7.55*** |
α ARCH Response to squared shocks | 0.1544 | 5.12*** |
β GARCH Volatility persistence | 0.7389 | 15.02*** |
Spline Coefficients
K=5
| γ1 | -0.0399 | -1.69* |
| γ2 | 0.0495 | 1.40 |
| γ3 | 0.0273 | 1.00 |
| γ4 | -0.0823 | -3.07*** |
| γ5 | 0.0617 | 3.16*** |
Persistence:
0.893
Half-life:
6 days
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