V-Lab
Indian Rupee MF2-GARCH Volatility Analysis
Volatility prediction for Wednesday, August 19th, 2026
1 Day
3.23%
1 Week
3.50%
1 Month
4.39%
Analysis last updated: Tuesday, August 18, 2026 at 07:42 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Aug 14, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 143% more than negative returns. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and uncommon among risky assets.
MF2-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 91 | |
α ARCH Response to squared shocks | 0.1641 | 30.59*** |
β GARCH Volatility persistence | 0.8248 | 150.90*** |
γ leverage Additional response to negative shocks | -0.0965 | -18.98*** |
λ₁ tau intercept Baseline long-term coefficient | 0.0003 | 6.82*** |
λ₂ forecast adj. Forecast performance sensitivity | 0.9874 | 52.58*** |
λ₃ tau persistence Long-term factor persistence | 0.0126 | 2.37** |
Persistence:
0.941
Half-life:
11 days
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