V-Lab
V-Lab

Indian Rupee Zero Slope Spline-GARCH Volatility Analysis
Volatility Prediction for Wednesday, May 12th, 2021:5.54% (-0.30%)
Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of Indian Rupee S0GARCH
paramt-stat
ω2.51503.01
α0.15969.05
β0.822448.32
γ1-0.3438-1.46
γ20.96292.56
γ3-1.1947-5.67
γ41.00843.34
γ5-0.5652-1.95
γ60.12990.74
γ7-0.0181-0.17
γ8-0.0557-0.60
γ90.17741.81
γ10-0.1372-1.94
Estimation Period:
Jul 4, 1991 to May 7, 2021
Impact of return on volatility tomorrow
Volatility Forecasts