Colombian Peso Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Friday, November 13th, 2026
1 Day
14.84%
decreased by 0.18%
1 Week
14.83%
decreased by 0.19%
1 Month
14.82%
decreased by 0.20%
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
Aug 20, 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 15 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 | 0.5253 | 3.52*** |
| αARCH | 0.1142 | 10.24*** |
| βGARCH | 0.8402 | 56.21*** |
Spline Coefficients
K=10
| γ1 | 0.0668 | 1.46 |
| γ2 | -0.0708 | -1.12 |
| γ3 | -0.0917 | -2.58*** |
| γ4 | 0.2338 | 8.64*** |
| γ5 | -0.2926 | -11.00*** |
| γ6 | 0.2891 | 8.85*** |
| γ7 | -0.1869 | -5.29*** |
| γ8 | 0.0611 | 1.91* |
| γ9 | -0.0235 | -0.89 |
| γ10 | 0.0193 | 1.08 |
0.954
Persistence15d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.5253 | 3.52*** |
α ARCH Response to squared shocks | 0.1142 | 10.24*** |
β GARCH Volatility persistence | 0.8402 | 56.21*** |
Spline Coefficients
K=10
| γ1 | 0.0668 | 1.46 |
| γ2 | -0.0708 | -1.12 |
| γ3 | -0.0917 | -2.58*** |
| γ4 | 0.2338 | 8.64*** |
| γ5 | -0.2926 | -11.00*** |
| γ6 | 0.2891 | 8.85*** |
| γ7 | -0.1869 | -5.29*** |
| γ8 | 0.0611 | 1.91* |
| γ9 | -0.0235 | -0.89 |
| γ10 | 0.0193 | 1.08 |
Persistence:
0.954
Half-life:
15 days
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