Singapore Dollar Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Thursday, July 16th, 2026
1 Day
2.71%
increased by 0.07%
1 Week
2.75%
increased by 0.11%
1 Month
2.88%
increased by 0.24%
Analysis last updated: Wednesday, July 15, 2026 at 07:47 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 0.992, volatility shocks have a half-life of 86 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
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.9781 | 8.07*** |
α ARCH Response to squared shocks | 0.0481 | 9.64*** |
β GARCH Volatility persistence | 0.9439 | 169.25*** |
Spline Coefficients
K=1
| γ1 | 0.0000 | -0.14 |
Persistence:
0.992
Half-life:
86 days
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