V-Lab
Israeli Shekel Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Thursday, September 24th, 2026
1 Day
7.83%
decreased by 0.16%
1 Week
7.99%
increased by 0.00%
1 Month
8.47%
increased by 0.48%
Analysis last updated: Wednesday, September 23, 2026 at 07:43 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 8, 1991 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 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 | 1.2069 | 5.49*** |
| αARCH | 0.0668 | 8.01*** |
| βGARCH | 0.8978 | 75.66*** |
Spline Coefficients
K=10
| γ1 | 0.0084 | 0.25 |
| γ2 | 0.0062 | 0.11 |
| γ3 | -0.0468 | -1.15 |
| γ4 | 0.0988 | 3.13*** |
| γ5 | -0.1470 | -5.23*** |
| γ6 | 0.1191 | 3.74*** |
| γ7 | -0.0406 | -1.27 |
| γ8 | 0.0139 | 0.50 |
| γ9 | -0.0101 | -0.42 |
| γ10 | -0.0159 | -0.95 |
0.965
Persistence19d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.2069 | 5.49*** |
α ARCH Response to squared shocks | 0.0668 | 8.01*** |
β GARCH Volatility persistence | 0.8978 | 75.66*** |
Spline Coefficients
K=10
| γ1 | 0.0084 | 0.25 |
| γ2 | 0.0062 | 0.11 |
| γ3 | -0.0468 | -1.15 |
| γ4 | 0.0988 | 3.13*** |
| γ5 | -0.1470 | -5.23*** |
| γ6 | 0.1191 | 3.74*** |
| γ7 | -0.0406 | -1.27 |
| γ8 | 0.0139 | 0.50 |
| γ9 | -0.0101 | -0.42 |
| γ10 | -0.0159 | -0.95 |
Persistence:
0.965
Half-life:
19 days
Other Israeli Shekel Analyses
Other Zero Slope Spline-GARCH Analyses on Currencies