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

V-Lab

| |

V-Lab

Indian Rupee Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, December 23rd, 2024:1.50% (-0.10%)

Analysis last updated: Friday, December 20, 2024 at 07:11 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6967	0.01
$α$	0.1731	0.00
$β$	0.8269	0.00
$γ_{1}$	0.0119	0.00
$γ_{2}$	-0.1462	-0.00
$γ_{3}$	0.1450	0.00
$γ_{4}$	-0.0027	-0.00
$γ_{5}$	-0.0013	-0.00
$γ_{6}$	-0.0335	-0.01
$γ_{7}$	0.0041	0.00
$γ_{8}$	0.0960	0.01
$γ_{9}$	-0.1770	-0.01
$γ_{10}$	0.1657	0.01

Estimation Period:
Jul 4, 1991 to Dec 20, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts