V-Lab: Indian Rupee GJR-GARCH Volatility Analysis

Skip to main content

V-Lab

Indian Rupee GJR-GARCH Volatility Analysis

Volatility Prediction for Monday, December 8th, 2025:4.91% (+0.04%)

Analysis last updated: Friday, December 5, 2025 at 07:12 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0001	10.89
$α$	0.0838	26.49
$β$	0.9379	435.02
$γ$	-0.0433	-11.09

Estimation Period:
Jul 4, 1991 to Dec 5, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts