V-Lab: Indian Rupee Spline-GARCH Volatility Analysis

V-Lab

Indian Rupee Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, July 11th, 2025:3.15% (+0.46%)

Analysis last updated: Thursday, July 10, 2025 at 07:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7742	0.13
$α$	0.1708	0.00
$β$	0.8292	0.02
$γ_{1}$	0.0468	0.00
$γ_{2}$	-0.1863	-0.00
$γ_{3}$	0.1566	0.01
$γ_{4}$	-0.0097	-0.00
$γ_{5}$	-0.0027	-0.00
$γ_{6}$	-0.0382	-0.11
$γ_{7}$	0.0314	0.08
$γ_{8}$	0.0495	0.04
$γ_{9}$	-0.1148	-0.03
$γ_{10}$	0.0286	0.00

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts