V-Lab
Colombian Peso Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Thursday, October 1st, 2026
1 Day
18.77%
increased by 2.04%
1 Week
18.46%
increased by 1.73%
1 Month
17.50%
increased by 0.77%
Analysis last updated: Wednesday, September 30, 2026 at 07:57 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Aug 20, 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 | 0.4844 | 3.24*** |
| αARCH | 0.1114 | 10.01*** |
| βGARCH | 0.8425 | 56.22*** |
Spline Coefficients
K=10
| γ1 | 0.0540 | 1.12 |
| γ2 | -0.0526 | -0.79 |
| γ3 | -0.1001 | -2.75*** |
| γ4 | 0.2384 | 8.65*** |
| γ5 | -0.2941 | -10.64*** |
| γ6 | 0.2862 | 8.50*** |
| γ7 | -0.1799 | -5.02*** |
| γ8 | 0.0533 | 1.67* |
| γ9 | -0.0174 | -0.66 |
| γ10 | 0.0155 | 0.87 |
0.954
Persistence15d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.4844 | 3.24*** |
α ARCH Response to squared shocks | 0.1114 | 10.01*** |
β GARCH Volatility persistence | 0.8425 | 56.22*** |
Spline Coefficients
K=10
| γ1 | 0.0540 | 1.12 |
| γ2 | -0.0526 | -0.79 |
| γ3 | -0.1001 | -2.75*** |
| γ4 | 0.2384 | 8.65*** |
| γ5 | -0.2941 | -10.64*** |
| γ6 | 0.2862 | 8.50*** |
| γ7 | -0.1799 | -5.02*** |
| γ8 | 0.0533 | 1.67* |
| γ9 | -0.0174 | -0.66 |
| γ10 | 0.0155 | 0.87 |
Persistence:
0.954
Half-life:
15 days
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