V-Lab
Euro Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Wednesday, August 19th, 2026
1 Day
4.24%
decreased by 0.03%
1 Week
4.27%
decreased by 0.00%
1 Month
4.39%
increased by 0.12%
Analysis last updated: Tuesday, August 18, 2026 at 07:42 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 0.995, volatility shocks have a half-life of 143 trading days (~0.6 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 | 1.2020 | 9.76*** |
α ARCH Response to squared shocks | 0.0269 | 8.59*** |
β GARCH Volatility persistence | 0.9683 | 254.13*** |
Spline Coefficients
K=1
| γ1 | 0.0002 | 2.38** |
Persistence:
0.995
Half-life:
143 days
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