Colombian Peso Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Wednesday, October 21st, 2026
1 Day
9.81%
decreased by 0.13%
1 Week
10.35%
increased by 0.41%
1 Month
11.82%
increased by 1.88%
Analysis last updated: Tuesday, October 20, 2026 at 08:50 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 Oct 16, 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 | 0.5098 | 3.43*** |
| αARCH | 0.1131 | 10.15*** |
| βGARCH | 0.8412 | 56.30*** |
Spline Coefficients
K=10
| γ1 | 0.0602 | 1.30 |
| γ2 | -0.0608 | -0.95 |
| γ3 | -0.0970 | -2.72*** |
| γ4 | 0.2366 | 8.73*** |
| γ5 | -0.2933 | -10.88*** |
| γ6 | 0.2877 | 8.73*** |
| γ7 | -0.1840 | -5.21*** |
| γ8 | 0.0582 | 1.84* |
| γ9 | -0.0216 | -0.82 |
| γ10 | 0.0183 | 1.03 |
0.954
Persistence15d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.5098 | 3.43*** |
α ARCH Response to squared shocks | 0.1131 | 10.15*** |
β GARCH Volatility persistence | 0.8412 | 56.30*** |
Spline Coefficients
K=10
| γ1 | 0.0602 | 1.30 |
| γ2 | -0.0608 | -0.95 |
| γ3 | -0.0970 | -2.72*** |
| γ4 | 0.2366 | 8.73*** |
| γ5 | -0.2933 | -10.88*** |
| γ6 | 0.2877 | 8.73*** |
| γ7 | -0.1840 | -5.21*** |
| γ8 | 0.0582 | 1.84* |
| γ9 | -0.0216 | -0.82 |
| γ10 | 0.0183 | 1.03 |
Persistence:
0.954
Half-life:
15 days
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