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V-Lab

Euro Spline-GARCH Volatility Analysis

Volatility prediction for Monday, July 20th, 2026

1 Day

4.55%

unchanged at 0.00%

1 Week

4.56%

increased by 0.01%

1 Month

4.61%

increased by 0.06%

Analysis last updated: Friday, July 17, 2026 at 07:36 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of Euro SGARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Jan 2, 1990 to Jul 17, 2026

Model Insight

With persistence 0.996, volatility shocks have a half-life of 160 trading days (~0.6 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.

τ

Spline-GARCH Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

1.0441
7.38***
α

ARCH

Response to squared shocks

0.0265
8.48***
β

GARCH

Volatility persistence

0.9692
261.09***
γi Spline Coefficients
K=1
γ1-0.0004
-0.88

Persistence:

0.996

Half-life:

160 days