V-Lab: Mauritian Rupee Spline-GARCH Volatility Analysis

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V-Lab

Mauritian Rupee Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, April 19th, 2024:4.70% (+0.18%)

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
$ω$	1.9871	2.89
$α$	0.0947	9.82
$β$	0.8902	82.29
$γ_{1}$	0.0316	0.50
$γ_{2}$	0.1223	1.37
$γ_{3}$	-0.3793	-4.66
$γ_{4}$	0.4537	5.13
$γ_{5}$	-0.3924	-6.85
$γ_{6}$	0.1692	2.87
$γ_{7}$	0.0659	0.99
$γ_{8}$	-0.1102	-1.81
$γ_{9}$	0.1214	1.79
$γ_{10}$	-0.3031	-2.37

Estimation Period:
Jun 28, 1993 to Apr 12, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts