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{name} Model Equation

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Value at Risk (VaR) estimates the maximum loss at a given confidence level. Expected Shortfall (ES) estimates the average loss beyond VaR.

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Param	Value	t-stat
ωconst	0.0002	1.11
αARCH	0.0621	4.79***
βGARCH	0.9379	115.88***
γleverage	-0.1913	-2.78***
δpower	1.9114	8.45***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0002	1.11
α ARCH Response to squared shocks	0.0621	4.79***
β GARCH Volatility persistence	0.9379	115.88***
γ leverage Additional response to negative shocks	-0.1913	-2.78***
δ power Transformation power	1.9114	8.45***

V-Lab

Indian Rupee APARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Indian Rupee Analyses