LME/COMEX Aluminum Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Monday, October 12th, 2026
1 Day
24.48%
decreased by 1.40%
1 Week
26.14%
increased by 0.26%
1 Month
31.69%
increased by 5.81%
Analysis last updated: Saturday, October 10, 2026 at 04:03 AM UTC
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How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 6, 2014 to Oct 9, 2026Model Insight
With persistence 0.992, volatility shocks have a half-life of 90 trading days (~0.4 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
τ
Zero Slope Spline-GARCH Model
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High persistence: persistence 0.992, shock half-life ~90 days
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.7658 | 1.77* |
| αARCH | 0.2269 | 2.96*** |
| βGARCH | 0.7654 | 12.08*** |
Spline Coefficients
K=8
| γ1 | 0.3342 | 0.32 |
| γ2 | -2.1664 | -1.36 |
| γ3 | 5.3628 | 3.91*** |
| γ4 | -9.3858 | -2.93*** |
| γ5 | 12.6851 | 2.19** |
| γ6 | -10.1464 | -2.05** |
| γ7 | 3.7512 | 2.13** |
| γ8 | -0.6124 | -1.18 |
0.992
Persistence90d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.7658 | 1.77* |
α ARCH Response to squared shocks | 0.2269 | 2.96*** |
β GARCH Volatility persistence | 0.7654 | 12.08*** |
Spline Coefficients
K=8
| γ1 | 0.3342 | 0.32 |
| γ2 | -2.1664 | -1.36 |
| γ3 | 5.3628 | 3.91*** |
| γ4 | -9.3858 | -2.93*** |
| γ5 | 12.6851 | 2.19** |
| γ6 | -10.1464 | -2.05** |
| γ7 | 3.7512 | 2.13** |
| γ8 | -0.6124 | -1.18 |
Persistence:
0.992
Half-life:
90 days
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