V-Lab: Indian Rupee Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Indian Rupee Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, April 19th, 2024:2.46% (+0.02%)

Analysis last updated: Thursday, April 18, 2024 at 07:03 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7428	0.03
$α$	0.1794	0.00
$β$	0.8206	0.01
$γ_{1}$	0.0471	0.00
$γ_{2}$	-0.2068	-0.00
$γ_{3}$	0.1879	0.00
$γ_{4}$	-0.0369	-0.00
$γ_{5}$	0.0297	0.01
$γ_{6}$	-0.0514	-1.09
$γ_{7}$	0.0041	0.01
$γ_{8}$	0.0837	0.03
$γ_{9}$	-0.0877	-0.04
$γ_{10}$	-0.0546	-0.01

Estimation Period:
Jul 4, 1991 to Apr 12, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts