Indian Rupee GJR-GARCH Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Tuesday, July 7th, 2026
1 Day
4.60%
decreased by 0.07%
1 Week
4.61%
decreased by 0.06%
1 Month
4.63%
decreased by 0.04%
Analysis last updated: Monday, July 6, 2026 at 07:12 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
| param | t-stat | |
|---|---|---|
| 0.0001 | 11.88 | |
| 0.0838 | 26.85 | |
| 0.9387 | 446.98 | |
| -0.0448 | -11.66 |
Estimation Period:
Jul 4, 1991 to Jul 3, 2026
Jul 4, 1991 to Jul 3, 2026
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