V-Lab: Indian Rupee Zero Slope Spline-GARCH Volatility Analysis

V-Lab

| |

V-Lab

Indian Rupee Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:1.89% (-0.11%)

Analysis last updated: Sunday, April 28, 2024 at 02:01 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.5595	2.55
$α$	0.1713	9.60
$β$	0.8262	59.92
$γ_{1}$	0.4190	1.83
$γ_{2}$	-0.6011	-2.09
$γ_{3}$	0.2055	1.40
$γ_{4}$	-0.0237	-0.24
$γ_{5}$	0.0126	0.19
$γ_{6}$	-0.0352	-0.75
$γ_{7}$	-0.0128	-0.28
$γ_{8}$	0.1156	2.24
$γ_{9}$	-0.1665	-3.67
$γ_{10}$	0.1321	4.58

Estimation Period:
Jul 4, 1991 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts