BDI Baltic Exchange Dry Index Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Friday, October 30th, 2026
1 Day
47.81%
increased by 4.06%
1 Week
62.40%
increased by 18.65%
1 Month
89.45%
increased by 45.70%
Analysis last updated: Friday, October 30, 2026 at 06:36 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 1990 to Oct 22, 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 9 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 | 0.7679 | 5.20*** |
| αARCH | 0.7939 | 27.35*** |
| βGARCH | 0.1341 | 5.37*** |
Spline Coefficients
K=7
| γ1 | 0.0408 | 2.22** |
| γ2 | -0.0523 | -1.79* |
| γ3 | 0.0618 | 2.74*** |
| γ4 | -0.0967 | -4.95*** |
| γ5 | 0.0615 | 3.75*** |
| γ6 | -0.0202 | -1.39 |
| γ7 | -0.0025 | -0.25 |
0.928
Persistence9d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.7679 | 5.20*** |
α ARCH Response to squared shocks | 0.7939 | 27.35*** |
β GARCH Volatility persistence | 0.1341 | 5.37*** |
Spline Coefficients
K=7
| γ1 | 0.0408 | 2.22** |
| γ2 | -0.0523 | -1.79* |
| γ3 | 0.0618 | 2.74*** |
| γ4 | -0.0967 | -4.95*** |
| γ5 | 0.0615 | 3.75*** |
| γ6 | -0.0202 | -1.39 |
| γ7 | -0.0025 | -0.25 |
Persistence:
0.928
Half-life:
9 days
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