V-Lab: Indian Rupee GJR-GARCH Volatility Analysis

V-Lab

Indian Rupee GJR-GARCH Volatility Analysis

Volatility Prediction for Monday, May 12th, 2025:8.29% (+2.71%)

Analysis last updated: Friday, May 9, 2025 at 07:09 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0001	11.88
$α$	0.0847	26.16
$β$	0.9373	425.29
$γ$	-0.0442	-11.08

Estimation Period:
Jul 4, 1991 to May 9, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts