US Dollar to Gold Troy Ounce Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Monday, October 19th, 2026
1 Day
17.31%
decreased by 0.22%
1 Week
17.75%
increased by 0.22%
1 Month
18.80%
increased by 1.27%
Analysis last updated: Sunday, October 18, 2026 at 03:19 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 Oct 16, 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 9 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 | 2.0228 | 3.26*** |
| αARCH | 0.0506 | 3.90*** |
| βGARCH | 0.8712 | 29.00*** |
Spline Coefficients
K=8
| γ1 | 0.2978 | 2.19** |
| γ2 | -0.4267 | -2.37** |
| γ3 | 0.2339 | 2.47** |
| γ4 | -0.1057 | -0.70 |
| γ5 | -0.0500 | -0.24 |
| γ6 | 0.0572 | 0.33 |
| γ7 | 0.0969 | 0.82 |
| γ8 | -0.1899 | -2.67*** |
0.922
Persistence9d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 2.0228 | 3.26*** |
α ARCH Response to squared shocks | 0.0506 | 3.90*** |
β GARCH Volatility persistence | 0.8712 | 29.00*** |
Spline Coefficients
K=8
| γ1 | 0.2978 | 2.19** |
| γ2 | -0.4267 | -2.37** |
| γ3 | 0.2339 | 2.47** |
| γ4 | -0.1057 | -0.70 |
| γ5 | -0.0500 | -0.24 |
| γ6 | 0.0572 | 0.33 |
| γ7 | 0.0969 | 0.82 |
| γ8 | -0.1899 | -2.67*** |
Persistence:
0.922
Half-life:
9 days
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