V-Lab
Argentine Peso Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Tuesday, September 29th, 2026
1 Day
8.15%
decreased by 0.19%
1 Week
9.03%
increased by 0.69%
1 Month
11.61%
increased by 3.27%
Analysis last updated: Monday, September 28, 2026 at 07:10 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Mar 29, 2002 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 36 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 | 2.2671 | 3.96*** |
| αARCH | 0.1885 | 8.59*** |
| βGARCH | 0.7924 | 40.30*** |
Spline Coefficients
K=9
| γ1 | -0.0953 | -1.65* |
| γ2 | 0.1831 | 2.09** |
| γ3 | -0.1309 | -2.15** |
| γ4 | 0.0893 | 1.44 |
| γ5 | 0.0633 | 1.15 |
| γ6 | -0.2954 | -5.08*** |
| γ7 | 0.2455 | 2.44** |
| γ8 | -0.0044 | -0.04 |
| γ9 | -0.1036 | -1.46 |
0.981
Persistence36d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 2.2671 | 3.96*** |
α ARCH Response to squared shocks | 0.1885 | 8.59*** |
β GARCH Volatility persistence | 0.7924 | 40.30*** |
Spline Coefficients
K=9
| γ1 | -0.0953 | -1.65* |
| γ2 | 0.1831 | 2.09** |
| γ3 | -0.1309 | -2.15** |
| γ4 | 0.0893 | 1.44 |
| γ5 | 0.0633 | 1.15 |
| γ6 | -0.2954 | -5.08*** |
| γ7 | 0.2455 | 2.44** |
| γ8 | -0.0044 | -0.04 |
| γ9 | -0.1036 | -1.46 |
Persistence:
0.981
Half-life:
36 days
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