US Dollar to Gold Troy Ounce Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Monday, November 9th, 2026
1 Day
21.20%
decreased by 0.66%
1 Week
21.11%
decreased by 0.75%
1 Month
20.88%
decreased by 0.98%
Analysis last updated: Sunday, November 8, 2026 at 02:13 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Mar 27, 2013 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 | 2.0194 | 3.26*** |
| αARCH | 0.0507 | 3.91*** |
| βGARCH | 0.8703 | 28.85*** |
Spline Coefficients
K=8
| γ1 | 0.2966 | 2.19** |
| γ2 | -0.4254 | -2.37** |
| γ3 | 0.2347 | 2.54** |
| γ4 | -0.1086 | -0.76 |
| γ5 | -0.0468 | -0.23 |
| γ6 | 0.0568 | 0.33 |
| γ7 | 0.0967 | 0.83 |
| γ8 | -0.1911 | -2.74*** |
0.921
Persistence8d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 2.0194 | 3.26*** |
α ARCH Response to squared shocks | 0.0507 | 3.91*** |
β GARCH Volatility persistence | 0.8703 | 28.85*** |
Spline Coefficients
K=8
| γ1 | 0.2966 | 2.19** |
| γ2 | -0.4254 | -2.37** |
| γ3 | 0.2347 | 2.54** |
| γ4 | -0.1086 | -0.76 |
| γ5 | -0.0468 | -0.23 |
| γ6 | 0.0568 | 0.33 |
| γ7 | 0.0967 | 0.83 |
| γ8 | -0.1911 | -2.74*** |
Persistence:
0.921
Half-life:
8 days
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