V-Lab: Indian Rupee Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Indian Rupee Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, May 12th, 2021:5.24% (-0.32%)

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	2.5078	3.03
$α$	0.1613	9.11
$β$	0.8224	48.93
$γ_{1}$	-0.3979	-1.68
$γ_{2}$	1.0603	2.82
$γ_{3}$	-1.2677	-6.20
$γ_{4}$	1.0578	3.40
$γ_{5}$	-0.5988	-1.99
$γ_{6}$	0.1519	0.84
$γ_{7}$	-0.0272	-0.25
$γ_{8}$	-0.0639	-0.66
$γ_{9}$	0.2143	1.80
$γ_{10}$	-0.2370	-1.19

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts