LME/COMEX Aluminum Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Friday, October 30th, 2026
1 Day
27.48%
increased by 0.63%
1 Week
28.99%
increased by 2.14%
1 Month
34.12%
increased by 7.27%
Analysis last updated: Friday, October 30, 2026 at 01:03 PM UTC
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How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 6, 2014 to Oct 23, 2026Model Insight
With persistence 0.992, volatility shocks have a half-life of 81 trading days (~0.3 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 ~81 days
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.6810 | 1.76* |
| αARCH | 0.2236 | 2.90*** |
| βGARCH | 0.7679 | 12.25*** |
Spline Coefficients
K=8
| γ1 | 0.3253 | 0.33 |
| γ2 | -2.1346 | -1.39 |
| γ3 | 5.3320 | 3.95*** |
| γ4 | -9.6305 | -2.97*** |
| γ5 | 13.3837 | 2.24** |
| γ6 | -10.7567 | -2.09** |
| γ7 | 3.8658 | 2.12** |
| γ8 | -0.5486 | -1.04 |
0.992
Persistence81d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.6810 | 1.76* |
α ARCH Response to squared shocks | 0.2236 | 2.90*** |
β GARCH Volatility persistence | 0.7679 | 12.25*** |
Spline Coefficients
K=8
| γ1 | 0.3253 | 0.33 |
| γ2 | -2.1346 | -1.39 |
| γ3 | 5.3320 | 3.95*** |
| γ4 | -9.6305 | -2.97*** |
| γ5 | 13.3837 | 2.24** |
| γ6 | -10.7567 | -2.09** |
| γ7 | 3.8658 | 2.12** |
| γ8 | -0.5486 | -1.04 |
Persistence:
0.992
Half-life:
81 days
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