Singapore Dollar GARCH Volatility Analysis
Volatility prediction for Tuesday, July 14th, 2026
1 Day
2.68%
decreased by 0.04%
1 Week
2.72%
increased by 0.00%
1 Month
2.85%
increased by 0.13%
Analysis last updated: Monday, July 13, 2026 at 07:10 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Jul 10, 2026Model Insight
With persistence 0.993, volatility shocks have a half-life of 92 trading days (~0.4 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
σ
GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0006 | 20.90*** |
α ARCH Response to squared shocks | 0.0487 | 39.79*** |
β GARCH Volatility persistence | 0.9439 | 699.15*** |
Persistence:
0.993
Half-life:
92 days
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