V-Lab
Israeli Shekel Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Tuesday, September 8th, 2026
1 Day
9.38%
decreased by 0.30%
1 Week
9.44%
decreased by 0.24%
1 Month
9.62%
decreased by 0.06%
Analysis last updated: Monday, September 7, 2026 at 07:06 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 8, 1991 to Sep 4, 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 | 1.2064 | 5.54*** |
| αARCH | 0.0667 | 7.94*** |
| βGARCH | 0.8970 | 74.33*** |
Spline Coefficients
K=10
| γ1 | 0.0099 | 0.30 |
| γ2 | 0.0038 | 0.07 |
| γ3 | -0.0454 | -1.12 |
| γ4 | 0.0983 | 3.13*** |
| γ5 | -0.1465 | -5.23*** |
| γ6 | 0.1168 | 3.70*** |
| γ7 | -0.0367 | -1.16 |
| γ8 | 0.0100 | 0.36 |
| γ9 | -0.0067 | -0.28 |
| γ10 | -0.0183 | -1.11 |
0.964
Persistence19d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.2064 | 5.54*** |
α ARCH Response to squared shocks | 0.0667 | 7.94*** |
β GARCH Volatility persistence | 0.8970 | 74.33*** |
Spline Coefficients
K=10
| γ1 | 0.0099 | 0.30 |
| γ2 | 0.0038 | 0.07 |
| γ3 | -0.0454 | -1.12 |
| γ4 | 0.0983 | 3.13*** |
| γ5 | -0.1465 | -5.23*** |
| γ6 | 0.1168 | 3.70*** |
| γ7 | -0.0367 | -1.16 |
| γ8 | 0.0100 | 0.36 |
| γ9 | -0.0067 | -0.28 |
| γ10 | -0.0183 | -1.11 |
Persistence:
0.964
Half-life:
19 days
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