V-Lab: Indian Rupee GJR-GARCH Volatility Analysis

V-Lab

|

V-Lab

Indian Rupee GJR-GARCH Volatility Analysis

Volatility Prediction for Friday, June 2nd, 2023:2.35% (+0.02%)

Analysis last updated: Thursday, June 1, 2023 at 07:02 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0001	12.22
$α$	0.0858	21.68
$β$	0.9374	402.33
$γ$	-0.0464	-9.05

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts