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 Tuesday, May 5th, 2026
1 Day
5.33%
decreased by 0.17%
1 Week
5.34%
decreased by 0.16%
1 Month
5.35%
decreased by 0.15%
Analysis last updated: Monday, May 4, 2026 at 07:10 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 | 26.82 | |
| 0.9386 | 445.66 | |
| -0.0447 | -11.63 |
Estimation Period:
Jul 4, 1991 to May 1, 2026
Jul 4, 1991 to May 1, 2026
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