V-Lab
Egyptian Pound Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Monday, September 21st, 2026
1 Day
6.44%
decreased by 0.70%
1 Week
6.49%
decreased by 0.65%
1 Month
6.59%
decreased by 0.55%
Analysis last updated: Friday, September 18, 2026 at 08:02 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 30, 2003 to Sep 18, 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 | 2.2496 | 4.95*** |
| αARCH | 0.1889 | 5.33*** |
| βGARCH | 0.7049 | 16.29*** |
Spline Coefficients
K=9
| γ1 | -0.0015 | -0.03 |
| γ2 | 0.0838 | 0.99 |
| γ3 | -0.1283 | -1.29 |
| γ4 | 0.0414 | 0.36 |
| γ5 | 0.0982 | 0.97 |
| γ6 | -0.2322 | -2.67*** |
| γ7 | 0.2707 | 2.87*** |
| γ8 | -0.2024 | -2.38** |
| γ9 | 0.0755 | 1.35 |
0.894
Persistence6d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 2.2496 | 4.95*** |
α ARCH Response to squared shocks | 0.1889 | 5.33*** |
β GARCH Volatility persistence | 0.7049 | 16.29*** |
Spline Coefficients
K=9
| γ1 | -0.0015 | -0.03 |
| γ2 | 0.0838 | 0.99 |
| γ3 | -0.1283 | -1.29 |
| γ4 | 0.0414 | 0.36 |
| γ5 | 0.0982 | 0.97 |
| γ6 | -0.2322 | -2.67*** |
| γ7 | 0.2707 | 2.87*** |
| γ8 | -0.2024 | -2.38** |
| γ9 | 0.0755 | 1.35 |
Persistence:
0.894
Half-life:
6 days
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