V-Lab
Colombian Peso Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Tuesday, September 8th, 2026
1 Day
15.54%
decreased by 1.02%
1 Week
15.49%
decreased by 1.07%
1 Month
15.33%
decreased by 1.23%
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
Aug 20, 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 | 0.4895 | 3.24*** |
| αARCH | 0.1112 | 10.03*** |
| βGARCH | 0.8436 | 56.81*** |
Spline Coefficients
K=10
| γ1 | 0.0550 | 1.13 |
| γ2 | -0.0533 | -0.80 |
| γ3 | -0.1013 | -2.76*** |
| γ4 | 0.2405 | 8.63*** |
| γ5 | -0.2958 | -10.45*** |
| γ6 | 0.2859 | 8.30*** |
| γ7 | -0.1773 | -4.87*** |
| γ8 | 0.0505 | 1.57 |
| γ9 | -0.0157 | -0.60 |
| γ10 | 0.0148 | 0.82 |
0.955
Persistence15d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.4895 | 3.24*** |
α ARCH Response to squared shocks | 0.1112 | 10.03*** |
β GARCH Volatility persistence | 0.8436 | 56.81*** |
Spline Coefficients
K=10
| γ1 | 0.0550 | 1.13 |
| γ2 | -0.0533 | -0.80 |
| γ3 | -0.1013 | -2.76*** |
| γ4 | 0.2405 | 8.63*** |
| γ5 | -0.2958 | -10.45*** |
| γ6 | 0.2859 | 8.30*** |
| γ7 | -0.1773 | -4.87*** |
| γ8 | 0.0505 | 1.57 |
| γ9 | -0.0157 | -0.60 |
| γ10 | 0.0148 | 0.82 |
Persistence:
0.955
Half-life:
15 days
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