V-Lab: Indian Rupee GJR-GARCH Volatility Analysis

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V-Lab

Indian Rupee GJR-GARCH Volatility Analysis

Volatility Prediction for Monday, January 30th, 2023:3.99% (-0.11%)

Analysis last updated: Friday, January 27, 2023, 07:07 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0001	12.56
$α$	0.0864	21.62
$β$	0.9370	398.37
$γ$	-0.0467	-9.07

Estimation Period:
Jul 4, 1991 to Jan 27, 2023

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Volatility Forecasts

Volatility Forecasts