US Dollar to Turkish New Lira Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Friday, November 13th, 2026
1 Day
2.05%
decreased by 0.03%
1 Week
2.10%
increased by 0.02%
1 Month
2.30%
increased by 0.22%
Analysis last updated: Thursday, November 12, 2026 at 07:24 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Nov 6, 2026Model Insight
With persistence 0.995, volatility shocks have a half-life of 147 trading days (~0.6 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
τ
Zero Slope Spline-GARCH Model
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High persistence: persistence 0.995, shock half-life ~147 days
| Param | Value | t-stat |
|---|---|---|
| ωconst | 2.1297 | 2.83*** |
| αARCH | 0.0657 | 4.22*** |
| βGARCH | 0.9296 | 52.62*** |
Spline Coefficients
K=10
| γ1 | -0.1460 | -2.13** |
| γ2 | 0.2524 | 1.95* |
| γ3 | -0.1602 | -1.26 |
| γ4 | 0.1015 | 1.08 |
| γ5 | -0.1170 | -1.99** |
| γ6 | 0.1229 | 1.84* |
| γ7 | -0.0142 | -0.15 |
| γ8 | -0.1650 | -1.52 |
| γ9 | 0.2059 | 2.41** |
| γ10 | -0.0844 | -1.65* |
0.995
Persistence147d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 2.1297 | 2.83*** |
α ARCH Response to squared shocks | 0.0657 | 4.22*** |
β GARCH Volatility persistence | 0.9296 | 52.62*** |
Spline Coefficients
K=10
| γ1 | -0.1460 | -2.13** |
| γ2 | 0.2524 | 1.95* |
| γ3 | -0.1602 | -1.26 |
| γ4 | 0.1015 | 1.08 |
| γ5 | -0.1170 | -1.99** |
| γ6 | 0.1229 | 1.84* |
| γ7 | -0.0142 | -0.15 |
| γ8 | -0.1650 | -1.52 |
| γ9 | 0.2059 | 2.41** |
| γ10 | -0.0844 | -1.65* |
Persistence:
0.995
Half-life:
147 days
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