V-Lab: Indian Rupee GJR-GARCH Volatility Analysis

V-Lab

Indian Rupee GJR-GARCH Volatility Analysis

Volatility Prediction for Friday, April 25th, 2025:4.23% (+0.03%)

Analysis last updated: Thursday, April 24, 2025 at 07:03 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0001	11.50
$α$	0.0846	26.18
$β$	0.9377	427.98
$γ$	-0.0446	-11.12

Estimation Period:
Jul 4, 1991 to Apr 18, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts