V-Lab
Argentine Peso Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Wednesday, September 9th, 2026
1 Day
7.90%
decreased by 0.15%
1 Week
8.89%
increased by 0.84%
1 Month
11.72%
increased by 3.67%
Analysis last updated: Tuesday, September 8, 2026 at 07:02 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Mar 29, 2002 to Sep 4, 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 35 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 | 2.0224 | 3.86*** |
| αARCH | 0.1879 | 8.57*** |
| βGARCH | 0.7922 | 40.53*** |
Spline Coefficients
K=9
| γ1 | -0.1136 | -1.94* |
| γ2 | 0.2065 | 2.34** |
| γ3 | -0.1375 | -2.26** |
| γ4 | 0.0893 | 1.46 |
| γ5 | 0.0670 | 1.24 |
| γ6 | -0.2952 | -4.86*** |
| γ7 | 0.2348 | 2.27** |
| γ8 | 0.0137 | 0.13 |
| γ9 | -0.1180 | -1.66* |
0.980
Persistence35d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 2.0224 | 3.86*** |
α ARCH Response to squared shocks | 0.1879 | 8.57*** |
β GARCH Volatility persistence | 0.7922 | 40.53*** |
Spline Coefficients
K=9
| γ1 | -0.1136 | -1.94* |
| γ2 | 0.2065 | 2.34** |
| γ3 | -0.1375 | -2.26** |
| γ4 | 0.0893 | 1.46 |
| γ5 | 0.0670 | 1.24 |
| γ6 | -0.2952 | -4.86*** |
| γ7 | 0.2348 | 2.27** |
| γ8 | 0.0137 | 0.13 |
| γ9 | -0.1180 | -1.66* |
Persistence:
0.980
Half-life:
35 days
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