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

V-Lab

| |

V-Lab

Indian Rupee Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, April 24th, 2024:2.14% (-0.03%)

Analysis last updated: Tuesday, April 23, 2024 at 07:03 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8506	0.77
$α$	0.1749	11.81
$β$	0.8246	60.46
$γ_{1}$	0.2788	0.82
$γ_{2}$	-0.4506	-1.08
$γ_{3}$	0.1940	1.22
$γ_{4}$	-0.0221	-0.21
$γ_{5}$	0.0128	0.19
$γ_{6}$	-0.0370	-0.78
$γ_{7}$	-0.0108	-0.23
$γ_{8}$	0.1148	2.22
$γ_{9}$	-0.1685	-3.70
$γ_{10}$	0.1361	4.64

Estimation Period:
Jul 4, 1991 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts