Polish Zloty Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Monday, October 19th, 2026
1 Day
6.30%
decreased by 0.14%
1 Week
6.36%
decreased by 0.08%
1 Month
6.58%
increased by 0.14%
Analysis last updated: Sunday, October 18, 2026 at 03:14 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Sep 1, 1993 to Oct 16, 2026Model Insight
With persistence 0.990, volatility shocks have a half-life of 71 trading days (~0.3 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
τ
Zero Slope Spline-GARCH Model
Tap to view equation
High persistence: persistence 0.990, shock half-life ~71 days
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.7889 | 6.08*** |
| αARCH | 0.0539 | 8.71*** |
| βGARCH | 0.9364 | 133.59*** |
Spline Coefficients
K=2
| γ1 | -0.0025 | -2.59*** |
| γ2 | 0.0033 | 2.64*** |
0.990
Persistence71d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.7889 | 6.08*** |
α ARCH Response to squared shocks | 0.0539 | 8.71*** |
β GARCH Volatility persistence | 0.9364 | 133.59*** |
Spline Coefficients
K=2
| γ1 | -0.0025 | -2.59*** |
| γ2 | 0.0033 | 2.64*** |
Persistence:
0.990
Half-life:
71 days
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