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

V-Lab

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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 ·

Parameter Estimates

	param	t-stat
$ω$	2.5150	3.01
$α$	0.1596	9.05
$β$	0.8224	48.32
$γ_{1}$	-0.3438	-1.46
$γ_{2}$	0.9629	2.56
$γ_{3}$	-1.1947	-5.67
$γ_{4}$	1.0084	3.34
$γ_{5}$	-0.5652	-1.95
$γ_{6}$	0.1299	0.74
$γ_{7}$	-0.0181	-0.17
$γ_{8}$	-0.0557	-0.60
$γ_{9}$	0.1774	1.81
$γ_{10}$	-0.1372	-1.94

Estimation Period:
Jul 4, 1991 to May 7, 2021

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts