V-Lab
Chilean Peso Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Monday, September 14th, 2026
1 Day
10.11%
decreased by 0.41%
1 Week
10.13%
decreased by 0.39%
1 Month
10.19%
decreased by 0.33%
Analysis last updated: Sunday, September 13, 2026 at 01:51 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Dec 31, 1992 to Sep 11, 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 15 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 | 0.7898 | 6.72*** |
| αARCH | 0.0740 | 7.42*** |
| βGARCH | 0.8798 | 56.62*** |
Spline Coefficients
K=10
| γ1 | 0.0399 | 0.68 |
| γ2 | 0.0031 | 0.03 |
| γ3 | -0.1422 | -2.21** |
| γ4 | 0.1949 | 4.08*** |
| γ5 | -0.1762 | -4.23*** |
| γ6 | 0.1218 | 3.93*** |
| γ7 | -0.0334 | -0.90 |
| γ8 | 0.0002 | 0.01 |
| γ9 | -0.0453 | -1.84* |
| γ10 | 0.0531 | 3.46*** |
0.954
Persistence15d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.7898 | 6.72*** |
α ARCH Response to squared shocks | 0.0740 | 7.42*** |
β GARCH Volatility persistence | 0.8798 | 56.62*** |
Spline Coefficients
K=10
| γ1 | 0.0399 | 0.68 |
| γ2 | 0.0031 | 0.03 |
| γ3 | -0.1422 | -2.21** |
| γ4 | 0.1949 | 4.08*** |
| γ5 | -0.1762 | -4.23*** |
| γ6 | 0.1218 | 3.93*** |
| γ7 | -0.0334 | -0.90 |
| γ8 | 0.0002 | 0.01 |
| γ9 | -0.0453 | -1.84* |
| γ10 | 0.0531 | 3.46*** |
Persistence:
0.954
Half-life:
15 days
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