US Dollar to Mauritian 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
5.66%
decreased by 0.19%
1 Week
5.71%
decreased by 0.14%
1 Month
5.91%
increased by 0.06%
Analysis last updated: Sunday, June 14, 2026 at 01:34 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
| param | t-stat | |
|---|---|---|
| 0.0012 | 15.24 | |
| 0.0808 | 23.43 | |
| 0.9280 | 483.31 | |
| -0.0175 | -2.95 |
Estimation Period:
Apr 10, 1995 to Jun 12, 2026
Apr 10, 1995 to Jun 12, 2026
Other GJR-GARCH Analyses on Currencies