V-Lab
Danish Krone Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Monday, August 17th, 2026
1 Day
4.21%
decreased by 0.03%
1 Week
4.23%
decreased by 0.01%
1 Month
4.30%
increased by 0.06%
Analysis last updated: Friday, August 14, 2026 at 07:55 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Aug 14, 2026Model Insight
With persistence 0.997, volatility shocks have a half-life of 275 trading days (~1.1 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
τ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.0043 | 7.75*** |
α ARCH Response to squared shocks | 0.0257 | 8.90*** |
β GARCH Volatility persistence | 0.9718 | 305.01*** |
Spline Coefficients
K=1
| γ1 | 0.0001 | 0.55 |
Persistence:
0.997
Half-life:
275 days
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