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{name} Model Equation

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Param	Value	t-stat
mwindow	91
αARCH	0.1649	6.53***
βGARCH	0.8235	49.87***
γleverage	-0.0970	-4.14***
λ₁tau intercept	0.0003	1.84*
λ₂forecast adj.	0.9874	19.73***
λ₃tau persistence	0.0126	1.27

Parameter	Value	t-statistic
m window Rolling window length	91
α ARCH Response to squared shocks	0.1649	6.53***
β GARCH Volatility persistence	0.8235	49.87***
γ leverage Additional response to negative shocks	-0.0970	-4.14***
λ₁ tau intercept Baseline long-term coefficient	0.0003	1.84*
λ₂ forecast adj. Forecast performance sensitivity	0.9874	19.73***
λ₃ tau persistence Long-term factor persistence	0.0126	1.27

V-Lab

Indian Rupee MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Indian Rupee Analyses