V-Lab
Indian Rupee Zero Slope Spline-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, September 15th, 2026
1 Day
4.43%
1 Week
4.45%
1 Month
4.53%
Analysis last updated: Monday, September 14, 2026 at 07:03 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jul 4, 1991 to Sep 11, 2026Model Insight
With persistence 1.000, volatility shocks have a half-life of 138629 trading days (~550.1 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
Zero Slope Spline-GARCH Model
Tap to view equation
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.5915 | |
| αARCH | 0.1525 | |
| βGARCH | 0.8475 |
| γ1 | -0.0752 | |
| γ2 | 0.0113 | |
| γ3 | 0.0860 | |
| γ4 | -0.0216 | |
| γ5 | -0.0358 | |
| γ6 | 0.0780 | |
| γ7 | -0.0922 | |
| γ8 | 0.0809 |
1.000
Persistence138629d
Half-lifeZero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.5915 | |
α ARCH Response to squared shocks | 0.1525 | |
β GARCH Volatility persistence | 0.8475 |
| γ1 | -0.0752 | |
| γ2 | 0.0113 | |
| γ3 | 0.0860 | |
| γ4 | -0.0216 | |
| γ5 | -0.0358 | |
| γ6 | 0.0780 | |
| γ7 | -0.0922 | |
| γ8 | 0.0809 |
Persistence:
1.000
Half-life:
138629 days
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