V-Lab
Chilean Peso Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Tuesday, September 8th, 2026
1 Day
8.20%
decreased by 0.11%
1 Week
8.41%
increased by 0.10%
1 Month
9.00%
increased by 0.69%
Analysis last updated: Monday, September 7, 2026 at 07:02 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Dec 31, 1992 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 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 | 0.7960 | 6.80*** |
| αARCH | 0.0742 | 7.40*** |
| βGARCH | 0.8793 | 56.20*** |
Spline Coefficients
K=10
| γ1 | 0.0395 | 0.68 |
| γ2 | 0.0056 | 0.06 |
| γ3 | -0.1465 | -2.28** |
| γ4 | 0.1987 | 4.19*** |
| γ5 | -0.1783 | -4.34*** |
| γ6 | 0.1222 | 3.95*** |
| γ7 | -0.0331 | -0.89 |
| γ8 | 0.0004 | 0.01 |
| γ9 | -0.0462 | -1.90* |
| γ10 | 0.0539 | 3.57*** |
0.953
Persistence15d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.7960 | 6.80*** |
α ARCH Response to squared shocks | 0.0742 | 7.40*** |
β GARCH Volatility persistence | 0.8793 | 56.20*** |
Spline Coefficients
K=10
| γ1 | 0.0395 | 0.68 |
| γ2 | 0.0056 | 0.06 |
| γ3 | -0.1465 | -2.28** |
| γ4 | 0.1987 | 4.19*** |
| γ5 | -0.1783 | -4.34*** |
| γ6 | 0.1222 | 3.95*** |
| γ7 | -0.0331 | -0.89 |
| γ8 | 0.0004 | 0.01 |
| γ9 | -0.0462 | -1.90* |
| γ10 | 0.0539 | 3.57*** |
Persistence:
0.953
Half-life:
15 days
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