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

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V-Lab

Indian Rupee Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, October 20th, 2025:4.36% (-0.40%)

Analysis last updated: Friday, October 17, 2025 at 07:13 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6688	0.04
$α$	0.1662	0.00
$β$	0.8338	0.01
$γ_{1}$	0.0076	0.00
$γ_{2}$	-0.1318	-0.00
$γ_{3}$	0.1342	0.00
$γ_{4}$	0.0024	0.00
$γ_{5}$	-0.0127	-0.01
$γ_{6}$	-0.0327	-0.05
$γ_{7}$	0.0377	0.02
$γ_{8}$	0.0361	0.15
$γ_{9}$	-0.1196	-0.07
$γ_{10}$	0.1309	0.09

Estimation Period:
Jul 4, 1991 to Oct 17, 2025

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts