V-Lab
Chilean Peso Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Tuesday, September 29th, 2026
1 Day
10.68%
decreased by 0.45%
1 Week
10.65%
decreased by 0.48%
1 Month
10.56%
decreased by 0.57%
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
Dec 31, 1992 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 15 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 | 0.7988 | 6.75*** |
| αARCH | 0.0735 | 7.44*** |
| βGARCH | 0.8811 | 57.45*** |
Spline Coefficients
K=10
| γ1 | 0.0418 | 0.71 |
| γ2 | 0.0003 | 0.00 |
| γ3 | -0.1406 | -2.18** |
| γ4 | 0.1942 | 4.05*** |
| γ5 | -0.1766 | -4.21*** |
| γ6 | 0.1233 | 4.00*** |
| γ7 | -0.0356 | -0.97 |
| γ8 | 0.0018 | 0.05 |
| γ9 | -0.0458 | -1.85* |
| γ10 | 0.0529 | 3.42*** |
0.955
Persistence15d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.7988 | 6.75*** |
α ARCH Response to squared shocks | 0.0735 | 7.44*** |
β GARCH Volatility persistence | 0.8811 | 57.45*** |
Spline Coefficients
K=10
| γ1 | 0.0418 | 0.71 |
| γ2 | 0.0003 | 0.00 |
| γ3 | -0.1406 | -2.18** |
| γ4 | 0.1942 | 4.05*** |
| γ5 | -0.1766 | -4.21*** |
| γ6 | 0.1233 | 4.00*** |
| γ7 | -0.0356 | -0.97 |
| γ8 | 0.0018 | 0.05 |
| γ9 | -0.0458 | -1.85* |
| γ10 | 0.0529 | 3.42*** |
Persistence:
0.955
Half-life:
15 days
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