V-Lab: Indian Rupee GJR-GARCH Volatility Analysis

V-Lab

Indian Rupee GJR-GARCH Volatility Analysis

Volatility Prediction for Monday, July 14th, 2025:3.89% (+0.16%)

Analysis last updated: Friday, July 11, 2025 at 07:09 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0001	11.75
$α$	0.0847	26.26
$β$	0.9373	426.45
$γ$	-0.0442	-11.09

Estimation Period:
Jul 4, 1991 to Jul 11, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts