V-Lab: Indian Rupee AGARCH Volatility Analysis

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V-Lab

Indian Rupee AGARCH Volatility Analysis

Volatility Prediction for Monday, September 25th, 2023:6.97% (+4.42%)

Analysis last updated: Friday, September 22, 2023 at 07:30 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	-0.0001	-2.12
$α$	0.1113	28.15
$β$	0.9172	400.36
$γ$	-0.0290	-4.29

Estimation Period:
Jul 4, 1991 to Sep 22, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts