Israeli Shekel Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Friday, November 6th, 2026
1 Day
9.01%
decreased by 0.22%
1 Week
9.07%
decreased by 0.16%
1 Month
9.25%
increased by 0.02%
Analysis last updated: Thursday, November 5, 2026 at 07:27 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 8, 1991 to Oct 31, 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 19 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 | 1.2098 | 5.56*** |
| αARCH | 0.0663 | 7.99*** |
| βGARCH | 0.8980 | 75.64*** |
Spline Coefficients
K=10
| γ1 | 0.0087 | 0.27 |
| γ2 | 0.0057 | 0.11 |
| γ3 | -0.0457 | -1.14 |
| γ4 | 0.0970 | 3.12*** |
| γ5 | -0.1458 | -5.32*** |
| γ6 | 0.1200 | 3.86*** |
| γ7 | -0.0431 | -1.37 |
| γ8 | 0.0175 | 0.63 |
| γ9 | -0.0151 | -0.63 |
| γ10 | -0.0115 | -0.70 |
0.964
Persistence19d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.2098 | 5.56*** |
α ARCH Response to squared shocks | 0.0663 | 7.99*** |
β GARCH Volatility persistence | 0.8980 | 75.64*** |
Spline Coefficients
K=10
| γ1 | 0.0087 | 0.27 |
| γ2 | 0.0057 | 0.11 |
| γ3 | -0.0457 | -1.14 |
| γ4 | 0.0970 | 3.12*** |
| γ5 | -0.1458 | -5.32*** |
| γ6 | 0.1200 | 3.86*** |
| γ7 | -0.0431 | -1.37 |
| γ8 | 0.0175 | 0.63 |
| γ9 | -0.0151 | -0.63 |
| γ10 | -0.0115 | -0.70 |
Persistence:
0.964
Half-life:
19 days
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