V-Lab
Indian Rupee EGARCH Volatility Analysis
Volatility prediction for Tuesday, September 22nd, 2026
1 Day
4.07%
increased by 0.02%
1 Week
4.23%
increased by 0.18%
1 Month
4.93%
increased by 0.88%
Analysis last updated: Monday, September 21, 2026 at 07:10 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jul 4, 1991 to Sep 18, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 40% more than negative returns. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and uncommon among risky assets.
σ
EGARCH Model
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Inverse leverage: Positive returns increase volatility 40% more than negative returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | -0.0002 | -0.02 |
| αARCH | 0.2463 | 11.64*** |
| βGARCH | 0.9854 | 161.11*** |
| γleverage | 0.0413 | 2.39** |
0.985
Persistence47d
Half-lifeσ
EGARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | -0.0002 | -0.02 |
α ARCH Response to squared shocks | 0.2463 | 11.64*** |
β GARCH Volatility persistence | 0.9854 | 161.11*** |
γ leverage Additional response to negative shocks | 0.0413 | 2.39** |
Persistence:
0.985
Half-life:
47 days
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