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

V-Lab

Indian Rupee Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, September 1st, 2025:3.34% (-0.15%)

Analysis last updated: Friday, August 29, 2025 at 07:12 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6531	0.03
$α$	0.1669	0.00
$β$	0.8331	0.01
$γ_{1}$	-0.0335	-0.00
$γ_{2}$	-0.0600	-0.00
$γ_{3}$	0.1020	0.00
$γ_{4}$	0.0117	0.00
$γ_{5}$	-0.0424	-0.00
$γ_{6}$	-0.0064	-0.00
$γ_{7}$	0.0898	0.01
$γ_{8}$	-0.1401	-0.02
$γ_{9}$	0.1267	0.02

Estimation Period:
Jul 4, 1991 to Aug 29, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts