NYMEX Palladium Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Thursday, November 12th, 2026
1 Day
44.97%
decreased by 0.78%
1 Week
44.96%
decreased by 0.79%
1 Month
44.93%
decreased by 0.82%
Analysis last updated: Thursday, November 12, 2026 at 06:18 AM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Sep 28, 1998 to Nov 6, 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
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Time-varying baseline: volatility reverts to a slowly-shifting spline trend
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.7163 | 4.10*** |
| αARCH | 0.1130 | 6.69*** |
| βGARCH | 0.8029 | 25.83*** |
Spline Coefficients
K=10
| γ1 | 0.0008 | 0.01 |
| γ2 | -0.0730 | -0.42 |
| γ3 | 0.2455 | 3.06*** |
| γ4 | -0.4670 | -4.02*** |
| γ5 | 0.4784 | 2.85*** |
| γ6 | -0.2133 | -1.54 |
| γ7 | 0.0738 | 0.81 |
| γ8 | -0.0386 | -0.47 |
| γ9 | -0.0741 | -0.93 |
| γ10 | 0.0891 | 1.51 |
0.916
Persistence8d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.7163 | 4.10*** |
α ARCH Response to squared shocks | 0.1130 | 6.69*** |
β GARCH Volatility persistence | 0.8029 | 25.83*** |
Spline Coefficients
K=10
| γ1 | 0.0008 | 0.01 |
| γ2 | -0.0730 | -0.42 |
| γ3 | 0.2455 | 3.06*** |
| γ4 | -0.4670 | -4.02*** |
| γ5 | 0.4784 | 2.85*** |
| γ6 | -0.2133 | -1.54 |
| γ7 | 0.0738 | 0.81 |
| γ8 | -0.0386 | -0.47 |
| γ9 | -0.0741 | -0.93 |
| γ10 | 0.0891 | 1.51 |
Persistence:
0.916
Half-life:
8 days
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