V-Lab: Indian Rupee GJR-GARCH Volatility Analysis

V-Lab

Indian Rupee GJR-GARCH Volatility Analysis

Volatility Prediction for Wednesday, August 6th, 2025:4.43% (+0.38%)

Analysis last updated: Tuesday, August 5, 2025 at 07:06 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0001	11.88
$α$	0.0849	26.30
$β$	0.9373	426.42
$γ$	-0.0443	-11.12

Estimation Period:
Jul 4, 1991 to Aug 1, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts