Indian Rupee GJR-GARCH Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Monday, June 15th, 2026
1 Day
5.43%
decreased by 0.03%
1 Week
5.43%
decreased by 0.03%
1 Month
5.45%
decreased by 0.01%
Analysis last updated: Friday, June 12, 2026 at 08:12 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
| param | t-stat | |
|---|---|---|
| 0.0001 | 12.00 | |
| 0.0838 | 26.84 | |
| 0.9386 | 446.54 | |
| -0.0447 | -11.63 |
Estimation Period:
Jul 4, 1991 to Jun 12, 2026
Jul 4, 1991 to Jun 12, 2026
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