V-Lab
Danish Krone Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Tuesday, August 25th, 2026
1 Day
4.33%
decreased by 0.05%
1 Week
4.35%
decreased by 0.03%
1 Month
4.42%
increased by 0.04%
Analysis last updated: Monday, August 24, 2026 at 07:03 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Aug 21, 2026Model Insight
With persistence 0.997, volatility shocks have a half-life of 276 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 | 0.9995 | 7.71*** |
α ARCH Response to squared shocks | 0.0256 | 8.90*** |
β GARCH Volatility persistence | 0.9719 | 306.20*** |
Spline Coefficients
K=1
| γ1 | 0.0001 | 0.50 |
Persistence:
0.997
Half-life:
276 days
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