Malaysian Ringgit Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Friday, November 6th, 2026
1 Day
4.36%
increased by 0.94%
1 Week
4.43%
increased by 1.01%
1 Month
4.66%
increased by 1.24%
Analysis last updated: Thursday, November 5, 2026 at 07:27 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Dec 30, 2005 to Oct 31, 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 40 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 | 0.6039 | 3.87*** |
| αARCH | 0.0995 | 8.26*** |
| βGARCH | 0.8833 | 71.54*** |
Spline Coefficients
K=4
| γ1 | -0.0385 | -2.62*** |
| γ2 | 0.0343 | 1.57 |
| γ3 | 0.0206 | 1.53 |
| γ4 | -0.0236 | -2.71*** |
0.983
Persistence40d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.6039 | 3.87*** |
α ARCH Response to squared shocks | 0.0995 | 8.26*** |
β GARCH Volatility persistence | 0.8833 | 71.54*** |
Spline Coefficients
K=4
| γ1 | -0.0385 | -2.62*** |
| γ2 | 0.0343 | 1.57 |
| γ3 | 0.0206 | 1.53 |
| γ4 | -0.0236 | -2.71*** |
Persistence:
0.983
Half-life:
40 days
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