V-Lab
Indian Rupee GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
95.44%
decreased by 7.38%
1 Week
95.35%
decreased by 7.47%
1 Month
95.03%
decreased by 7.79%
Analysis last updated: Sunday, July 26, 2026 at 01:57 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jul 4, 1991 to Jul 24, 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
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 5.3347 | 8.70*** |
α ARCH Response to squared shocks | 0.0551 | 181.39*** |
β GARCH Volatility persistence | 0.9990 | 8,394.96*** |
ν DF Student-t tail thickness | 2.0011 |
Persistence:
0.999
Half-life:
693 days
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