COMEX Gold Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Monday, October 12th, 2026
1 Day
19.11%
increased by 0.15%
1 Week
19.06%
increased by 0.10%
1 Month
18.90%
decreased by 0.06%
Analysis last updated: Saturday, October 10, 2026 at 04:04 AM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Aug 30, 2000 to Oct 9, 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 59 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 | 1.0849 | 7.54*** |
| αARCH | 0.0426 | 4.04*** |
| βGARCH | 0.9457 | 80.12*** |
Spline Coefficients
K=1
| γ1 | 0.0003 | 0.73 |
0.988
Persistence59d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.0849 | 7.54*** |
α ARCH Response to squared shocks | 0.0426 | 4.04*** |
β GARCH Volatility persistence | 0.9457 | 80.12*** |
Spline Coefficients
K=1
| γ1 | 0.0003 | 0.73 |
Persistence:
0.988
Half-life:
59 days
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