V-Lab: Indian Rupee EGARCH Volatility Analysis

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V-Lab

Indian Rupee EGARCH Volatility Analysis

Volatility Prediction for Monday, September 25th, 2023:2.99% (+0.13%)

Analysis last updated: Friday, September 22, 2023 at 07:29 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	-0.0008	-0.28
$α$	0.2556	45.58
$β$	0.9839	579.80
$γ$	0.0451	9.66

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts