Israeli Shekel Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Wednesday, October 14th, 2026
1 Day
7.37%
increased by 0.17%
1 Week
7.56%
increased by 0.36%
1 Month
8.13%
increased by 0.93%
Analysis last updated: Tuesday, October 13, 2026 at 07:11 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 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 19 trading days.
τ
Zero Slope Spline-GARCH Model
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Time-varying baseline: volatility reverts to a slowly-shifting spline trend
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.2218 | 5.60*** |
| αARCH | 0.0665 | 8.00*** |
| βGARCH | 0.8980 | 75.64*** |
Spline Coefficients
K=10
| γ1 | 0.0116 | 0.35 |
| γ2 | 0.0011 | 0.02 |
| γ3 | -0.0434 | -1.07 |
| γ4 | 0.0963 | 3.07*** |
| γ5 | -0.1455 | -5.24*** |
| γ6 | 0.1186 | 3.77*** |
| γ7 | -0.0409 | -1.29 |
| γ8 | 0.0152 | 0.55 |
| γ9 | -0.0131 | -0.54 |
| γ10 | -0.0127 | -0.77 |
0.964
Persistence19d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.2218 | 5.60*** |
α ARCH Response to squared shocks | 0.0665 | 8.00*** |
β GARCH Volatility persistence | 0.8980 | 75.64*** |
Spline Coefficients
K=10
| γ1 | 0.0116 | 0.35 |
| γ2 | 0.0011 | 0.02 |
| γ3 | -0.0434 | -1.07 |
| γ4 | 0.0963 | 3.07*** |
| γ5 | -0.1455 | -5.24*** |
| γ6 | 0.1186 | 3.77*** |
| γ7 | -0.0409 | -1.29 |
| γ8 | 0.0152 | 0.55 |
| γ9 | -0.0131 | -0.54 |
| γ10 | -0.0127 | -0.77 |
Persistence:
0.964
Half-life:
19 days
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