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
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Jul 17, 2026Model 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
| Parameter | Value | t-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*** |
Spline Coefficients
K=1
| γ1 | -0.0004 | -0.88 |
Persistence:
0.996
Half-life:
160 days
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