Chilean Peso Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Friday, November 13th, 2026
1 Day
12.34%
decreased by 0.61%
1 Week
12.19%
decreased by 0.76%
1 Month
11.73%
decreased by 1.22%
Analysis last updated: Thursday, November 12, 2026 at 07:20 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Dec 31, 1992 to Nov 6, 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 14 trading days.
τ
Zero Slope Spline-GARCH Model
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Time-varying baseline: volatility reverts to a slowly-shifting spline trend
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.7096 | 6.08*** |
| αARCH | 0.0749 | 7.38*** |
| βGARCH | 0.8761 | 54.48*** |
Spline Coefficients
K=10
| γ1 | 0.0276 | 0.50 |
| γ2 | 0.0161 | 0.18 |
| γ3 | -0.1412 | -2.33** |
| γ4 | 0.1925 | 4.24*** |
| γ5 | -0.1772 | -4.41*** |
| γ6 | 0.1275 | 4.41*** |
| γ7 | -0.0405 | -1.24 |
| γ8 | 0.0037 | 0.12 |
| γ9 | -0.0456 | -1.95* |
| γ10 | 0.0531 | 3.57*** |
0.951
Persistence14d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.7096 | 6.08*** |
α ARCH Response to squared shocks | 0.0749 | 7.38*** |
β GARCH Volatility persistence | 0.8761 | 54.48*** |
Spline Coefficients
K=10
| γ1 | 0.0276 | 0.50 |
| γ2 | 0.0161 | 0.18 |
| γ3 | -0.1412 | -2.33** |
| γ4 | 0.1925 | 4.24*** |
| γ5 | -0.1772 | -4.41*** |
| γ6 | 0.1275 | 4.41*** |
| γ7 | -0.0405 | -1.24 |
| γ8 | 0.0037 | 0.12 |
| γ9 | -0.0456 | -1.95* |
| γ10 | 0.0531 | 3.57*** |
Persistence:
0.951
Half-life:
14 days
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