V-Lab: Indian Rupee MF2-GARCH Volatility Analysis

V-Lab

Indian Rupee MF2-GARCH Volatility Analysis

Volatility Prediction for Monday, May 12th, 2025:11.04% (+5.52%)

Analysis last updated: Friday, May 9, 2025 at 07:12 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	91
$α$	0.1694	30.38
$β$	0.8217	146.11
$γ$	-0.0971	-18.01
$λ_{1}$	0.0003	7.17
$λ_{2}$	0.9895	50.86
$λ_{3}$	0.0105	2.31

Estimation Period:
Jan 2, 1990 to May 9, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts