V-Lab
TLT Percentage Price Volatility Index Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Monday, September 28th, 2026
1 Day
126.47%
decreased by 15.17%
1 Week
120.04%
decreased by 21.60%
1 Month
105.04%
decreased by 36.60%
Analysis last updated: Monday, September 28, 2026 at 11:41 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 2004 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 6 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 | 0.9622 | 7.50*** |
| αARCH | 0.1540 | 5.10*** |
| βGARCH | 0.7414 | 15.05*** |
Spline Coefficients
K=5
| γ1 | -0.0400 | -1.68* |
| γ2 | 0.0495 | 1.38 |
| γ3 | 0.0275 | 1.00 |
| γ4 | -0.0819 | -3.04*** |
| γ5 | 0.0606 | 3.11*** |
0.895
Persistence6d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.9622 | 7.50*** |
α ARCH Response to squared shocks | 0.1540 | 5.10*** |
β GARCH Volatility persistence | 0.7414 | 15.05*** |
Spline Coefficients
K=5
| γ1 | -0.0400 | -1.68* |
| γ2 | 0.0495 | 1.38 |
| γ3 | 0.0275 | 1.00 |
| γ4 | -0.0819 | -3.04*** |
| γ5 | 0.0606 | 3.11*** |
Persistence:
0.895
Half-life:
6 days
Other TLT Percentage Price Volatility Index Analyses
Other Zero Slope Spline-GARCH Analyses on Volatility Indices