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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	91
α ARCH Response to squared shocks	0.1641	30.55***
β GARCH Volatility persistence	0.8243	150.20***
γ leverage Additional response to negative shocks	-0.0962	-18.85***
λ₁ tau intercept Baseline long-term coefficient	0.0003	6.79***
λ₂ forecast adj. Forecast performance sensitivity	0.9872	52.34***
λ₃ tau persistence Long-term factor persistence	0.0128	2.36**

V-Lab

Indian Rupee MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Indian Rupee Analyses