V-Lab: Indian Rupee Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Indian Rupee Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, February 10th, 2025:3.56% (-0.34%)

Analysis last updated: Sunday, February 9, 2025 at 03:04 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6994	0.03
$α$	0.1740	0.00
$β$	0.8260	0.01
$γ_{1}$	0.0206	0.00
$γ_{2}$	-0.1585	-0.00
$γ_{3}$	0.1537	0.00
$γ_{4}$	-0.0097	-0.00
$γ_{5}$	0.0003	0.00
$γ_{6}$	-0.0362	-0.75
$γ_{7}$	0.0144	0.02
$γ_{8}$	0.0811	0.02
$γ_{9}$	-0.1643	-0.02
$γ_{10}$	0.1588	0.03

Estimation Period:
Jul 4, 1991 to Feb 7, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts