Egyptian Pound Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Monday, November 2nd, 2026
1 Day
9.07%
decreased by 1.17%
1 Week
8.73%
decreased by 1.51%
1 Month
7.90%
decreased by 2.34%
Analysis last updated: Friday, October 30, 2026 at 07:03 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 30, 2003 to Oct 30, 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 7 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 | 2.4168 | 5.29*** |
| αARCH | 0.1990 | 5.42*** |
| βGARCH | 0.7099 | 18.43*** |
Spline Coefficients
K=10
| γ1 | 0.0215 | 0.30 |
| γ2 | 0.0313 | 0.23 |
| γ3 | -0.0276 | -0.20 |
| γ4 | -0.1275 | -1.10 |
| γ5 | 0.2610 | 1.96** |
| γ6 | -0.2573 | -1.61 |
| γ7 | 0.0878 | 0.75 |
| γ8 | 0.1064 | 1.34 |
| γ9 | -0.1809 | -2.18** |
| γ10 | 0.1009 | 1.50 |
0.909
Persistence7d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 2.4168 | 5.29*** |
α ARCH Response to squared shocks | 0.1990 | 5.42*** |
β GARCH Volatility persistence | 0.7099 | 18.43*** |
Spline Coefficients
K=10
| γ1 | 0.0215 | 0.30 |
| γ2 | 0.0313 | 0.23 |
| γ3 | -0.0276 | -0.20 |
| γ4 | -0.1275 | -1.10 |
| γ5 | 0.2610 | 1.96** |
| γ6 | -0.2573 | -1.61 |
| γ7 | 0.0878 | 0.75 |
| γ8 | 0.1064 | 1.34 |
| γ9 | -0.1809 | -2.18** |
| γ10 | 0.1009 | 1.50 |
Persistence:
0.909
Half-life:
7 days
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