V-Lab: Indian Rupee GJR-GARCH Volatility Analysis

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V-Lab

Indian Rupee GJR-GARCH Volatility Analysis

Volatility Prediction for Tuesday, April 16th, 2024:2.09% (+0.05%)

Analysis last updated: Monday, April 15, 2024 at 07:02 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0001	11.78
$α$	0.0853	23.14
$β$	0.9376	411.96
$γ$	-0.0458	-9.75

Estimation Period:
Jul 4, 1991 to Apr 12, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts