V-Lab: Indian Rupee APARCH Volatility Analysis

V-Lab

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V-Lab

Indian Rupee APARCH Volatility Analysis

Volatility Prediction for Wednesday, May 12th, 2021:5.52% (-0.19%)

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0004	6.63
$α$	0.0702	12.01
$β$	0.9298	198.59
$γ$	-0.1972	-7.94
$δ$	1.9066	33.70

Estimation Period:
Jul 4, 1991 to May 7, 2021

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts