Indian Rupee Zero Slope Spline-GARCH Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Monday, October 12th, 2026
1 Day
2.65%
increased by 0.02%
1 Week
2.67%
increased by 0.04%
1 Month
2.77%
increased by 0.14%
Analysis last updated: Saturday, October 10, 2026 at 02:27 AM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jul 4, 1991 to Oct 9, 2026Model Insight
With persistence 1.000, volatility shocks have a half-life of 99021 trading days (~392.9 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
τ
Zero Slope Spline-GARCH Model
Tap to view equation
High persistence: persistence 1.000, shock half-life ~99021 days
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.6700 | 0.02 |
| αARCH | 0.1544 | 0.00 |
| βGARCH | 0.8456 | 0.01 |
Spline Coefficients
K=10
| γ1 | -0.0054 | 0.00 |
| γ2 | -0.1067 | 0.00 |
| γ3 | 0.1174 | 0.00 |
| γ4 | 0.0116 | 0.00 |
| γ5 | -0.0211 | 0.00 |
| γ6 | -0.0342 | -0.01 |
| γ7 | 0.0671 | 0.01 |
| γ8 | -0.0239 | -0.01 |
| γ9 | -0.0586 | -0.92 |
| γ10 | 0.0999 | 0.14 |
1.000
Persistence99021d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.6700 | 0.02 |
α ARCH Response to squared shocks | 0.1544 | 0.00 |
β GARCH Volatility persistence | 0.8456 | 0.01 |
Spline Coefficients
K=10
| γ1 | -0.0054 | 0.00 |
| γ2 | -0.1067 | 0.00 |
| γ3 | 0.1174 | 0.00 |
| γ4 | 0.0116 | 0.00 |
| γ5 | -0.0211 | 0.00 |
| γ6 | -0.0342 | -0.01 |
| γ7 | 0.0671 | 0.01 |
| γ8 | -0.0239 | -0.01 |
| γ9 | -0.0586 | -0.92 |
| γ10 | 0.0999 | 0.14 |
Persistence:
1.000
Half-life:
99021 days
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