Israeli Shekel Spline-GARCH Volatility Analysis
Volatility prediction for Monday, October 26th, 2026
1 Day
6.33%
increased by 0.14%
1 Week
6.42%
increased by 0.23%
1 Month
6.71%
increased by 0.52%
Analysis last updated: Friday, October 23, 2026 at 08:11 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 23, 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
Spline-GARCH Model
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Time-varying baseline: volatility reverts to a slowly-shifting spline trend
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.2385 | 5.82*** |
| αARCH | 0.0662 | 7.88*** |
| βGARCH | 0.8968 | 73.98*** |
Spline Coefficients
K=10
| γ1 | 0.0133 | 0.41 |
| γ2 | 0.0026 | 0.05 |
| γ3 | -0.0533 | -1.35 |
| γ4 | 0.1123 | 3.67*** |
| γ5 | -0.1654 | -6.10*** |
| γ6 | 0.1397 | 4.50*** |
| γ7 | -0.0581 | -1.84* |
| γ8 | 0.0229 | 0.82 |
| γ9 | -0.0040 | -0.15 |
| γ10 | -0.0656 | -1.68* |
0.963
Persistence18d
Half-lifeτ
Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.2385 | 5.82*** |
α ARCH Response to squared shocks | 0.0662 | 7.88*** |
β GARCH Volatility persistence | 0.8968 | 73.98*** |
Spline Coefficients
K=10
| γ1 | 0.0133 | 0.41 |
| γ2 | 0.0026 | 0.05 |
| γ3 | -0.0533 | -1.35 |
| γ4 | 0.1123 | 3.67*** |
| γ5 | -0.1654 | -6.10*** |
| γ6 | 0.1397 | 4.50*** |
| γ7 | -0.0581 | -1.84* |
| γ8 | 0.0229 | 0.82 |
| γ9 | -0.0040 | -0.15 |
| γ10 | -0.0656 | -1.68* |
Persistence:
0.963
Half-life:
18 days
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