V-Lab
COMEX Gold Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Monday, September 21st, 2026
1 Day
20.30%
decreased by 0.40%
1 Week
20.23%
decreased by 0.47%
1 Month
19.98%
decreased by 0.72%
Analysis last updated: Saturday, September 19, 2026 at 04:07 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Aug 30, 2000 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 58 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 | 1.0859 | 7.55*** |
| αARCH | 0.0430 | 4.05*** |
| βGARCH | 0.9452 | 79.60*** |
Spline Coefficients
K=1
| γ1 | 0.0003 | 0.73 |
0.988
Persistence58d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.0859 | 7.55*** |
α ARCH Response to squared shocks | 0.0430 | 4.05*** |
β GARCH Volatility persistence | 0.9452 | 79.60*** |
Spline Coefficients
K=1
| γ1 | 0.0003 | 0.73 |
Persistence:
0.988
Half-life:
58 days
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