V-Lab: Indian Rupee GJR-GARCH Volatility Analysis

V-Lab

Indian Rupee GJR-GARCH Volatility Analysis

Volatility Prediction for Tuesday, September 16th, 2025:2.79% (-0.09%)

Analysis last updated: Monday, September 15, 2025 at 07:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0001	11.75
$α$	0.0846	26.27
$β$	0.9374	427.04
$γ$	-0.0438	-11.01

Estimation Period:
Jul 4, 1991 to Sep 12, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts