V-Lab
NYMEX Palladium Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Monday, September 21st, 2026
1 Day
40.64%
decreased by 1.65%
1 Week
41.38%
decreased by 0.91%
1 Month
43.10%
increased by 0.81%
Analysis last updated: Saturday, September 19, 2026 at 04:11 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Sep 28, 1998 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 8 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 | 0.7260 | 4.14*** |
| αARCH | 0.1127 | 6.69*** |
| βGARCH | 0.8055 | 26.13*** |
Spline Coefficients
K=10
| γ1 | 0.0057 | 0.04 |
| γ2 | -0.0839 | -0.48 |
| γ3 | 0.2613 | 3.17*** |
| γ4 | -0.4823 | -3.85*** |
| γ5 | 0.4785 | 2.72*** |
| γ6 | -0.1980 | -1.40 |
| γ7 | 0.0513 | 0.55 |
| γ8 | -0.0100 | -0.12 |
| γ9 | -0.1008 | -1.23 |
| γ10 | 0.1018 | 1.65* |
0.918
Persistence8d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.7260 | 4.14*** |
α ARCH Response to squared shocks | 0.1127 | 6.69*** |
β GARCH Volatility persistence | 0.8055 | 26.13*** |
Spline Coefficients
K=10
| γ1 | 0.0057 | 0.04 |
| γ2 | -0.0839 | -0.48 |
| γ3 | 0.2613 | 3.17*** |
| γ4 | -0.4823 | -3.85*** |
| γ5 | 0.4785 | 2.72*** |
| γ6 | -0.1980 | -1.40 |
| γ7 | 0.0513 | 0.55 |
| γ8 | -0.0100 | -0.12 |
| γ9 | -0.1008 | -1.23 |
| γ10 | 0.1018 | 1.65* |
Persistence:
0.918
Half-life:
8 days
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