V-Lab
Egyptian Pound Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Tuesday, September 8th, 2026
1 Day
5.25%
decreased by 0.43%
1 Week
5.56%
decreased by 0.12%
1 Month
6.16%
increased by 0.48%
Analysis last updated: Monday, September 7, 2026 at 07:03 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 30, 2003 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 6 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 | 2.2071 | 4.88*** |
| αARCH | 0.1877 | 5.36*** |
| βGARCH | 0.7078 | 16.59*** |
Spline Coefficients
K=9
| γ1 | -0.0069 | -0.12 |
| γ2 | 0.0906 | 1.06 |
| γ3 | -0.1288 | -1.29 |
| γ4 | 0.0375 | 0.33 |
| γ5 | 0.1050 | 1.04 |
| γ6 | -0.2394 | -2.75*** |
| γ7 | 0.2752 | 2.90*** |
| γ8 | -0.2030 | -2.38** |
| γ9 | 0.0742 | 1.33 |
0.895
Persistence6d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 2.2071 | 4.88*** |
α ARCH Response to squared shocks | 0.1877 | 5.36*** |
β GARCH Volatility persistence | 0.7078 | 16.59*** |
Spline Coefficients
K=9
| γ1 | -0.0069 | -0.12 |
| γ2 | 0.0906 | 1.06 |
| γ3 | -0.1288 | -1.29 |
| γ4 | 0.0375 | 0.33 |
| γ5 | 0.1050 | 1.04 |
| γ6 | -0.2394 | -2.75*** |
| γ7 | 0.2752 | 2.90*** |
| γ8 | -0.2030 | -2.38** |
| γ9 | 0.0742 | 1.33 |
Persistence:
0.895
Half-life:
6 days
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