Indian Rupee GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, October 19th, 2026
1 Day
54.17%
decreased by 4.17%
1 Week
54.12%
decreased by 4.22%
1 Month
53.94%
decreased by 4.40%
Analysis last updated: Sunday, October 18, 2026 at 01:53 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jul 4, 1991 to Oct 16, 2026Model Insight
The estimated Student-t degrees of freedom v = 2.00 sit at the infinite-variance boundary (v → 2): the model is attributing extreme moves to heavy tails rather than to volatility, so the volatility scale is unreliable here. See the boundary-parameters flag.
𝑓
GAS-GARCH-T Model
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Unreliable tails: v = 2.00 sits at the infinite-variance boundary
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.5083 | 2.17** |
| αARCH | 0.0552 | 45.44*** |
| βGARCH | 0.9990 | 2,098.74*** |
| νDF | 2.0041 |
0.999
Persistence693d
Half-life𝑓
GAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.5083 | 2.17** |
α ARCH Response to squared shocks | 0.0552 | 45.44*** |
β GARCH Volatility persistence | 0.9990 | 2,098.74*** |
ν DF Student-t tail thickness | 2.0041 |
Persistence:
0.999
Half-life:
693 days
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