V-Lab
Israeli Shekel Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Monday, September 14th, 2026
1 Day
8.95%
decreased by 0.29%
1 Week
9.00%
decreased by 0.24%
1 Month
9.18%
decreased by 0.06%
Analysis last updated: Sunday, September 13, 2026 at 01:51 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 8, 1991 to Sep 11, 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 18 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 | 1.1651 | 5.32*** |
| αARCH | 0.0657 | 7.85*** |
| βGARCH | 0.8974 | 73.79*** |
Spline Coefficients
K=10
| γ1 | 0.0082 | 0.24 |
| γ2 | 0.0057 | 0.10 |
| γ3 | -0.0458 | -1.13 |
| γ4 | 0.0993 | 3.16*** |
| γ5 | -0.1479 | -5.29*** |
| γ6 | 0.1179 | 3.75*** |
| γ7 | -0.0375 | -1.19 |
| γ8 | 0.0110 | 0.40 |
| γ9 | -0.0079 | -0.33 |
| γ10 | -0.0173 | -1.05 |
0.963
Persistence18d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.1651 | 5.32*** |
α ARCH Response to squared shocks | 0.0657 | 7.85*** |
β GARCH Volatility persistence | 0.8974 | 73.79*** |
Spline Coefficients
K=10
| γ1 | 0.0082 | 0.24 |
| γ2 | 0.0057 | 0.10 |
| γ3 | -0.0458 | -1.13 |
| γ4 | 0.0993 | 3.16*** |
| γ5 | -0.1479 | -5.29*** |
| γ6 | 0.1179 | 3.75*** |
| γ7 | -0.0375 | -1.19 |
| γ8 | 0.0110 | 0.40 |
| γ9 | -0.0079 | -0.33 |
| γ10 | -0.0173 | -1.05 |
Persistence:
0.963
Half-life:
18 days
Other Israeli Shekel Analyses
Other Zero Slope Spline-GARCH Analyses on Currencies