V-Lab: Indian Rupee GJR-GARCH Volatility Analysis

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V-Lab

Indian Rupee GJR-GARCH Volatility Analysis

Volatility Prediction for Wednesday, February 5th, 2025:2.94% (-0.10%)

Analysis last updated: Tuesday, February 4, 2025 at 07:03 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0001	12.00
$α$	0.0844	25.98
$β$	0.9380	427.75
$γ$	-0.0449	-10.92

Estimation Period:
Jul 4, 1991 to Jan 31, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts