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 Tuesday, July 21st, 2026
1 Day
3.61%
decreased by 0.06%
1 Week
3.63%
decreased by 0.04%
1 Month
3.70%
increased by 0.03%
Analysis last updated: Monday, July 20, 2026 at 07:03 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jul 4, 1991 to Jul 17, 2026Model Insight
With persistence 1.000, volatility shocks have a half-life of 77016 trading days (~305.6 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
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.6605 | 0.05 |
α ARCH Response to squared shocks | 0.1577 | 0.00 |
β GARCH Volatility persistence | 0.8423 | 0.02 |
Spline Coefficients
K=10
| γ1 | 0.0005 | 0.00 |
| γ2 | -0.1144 | 0.00 |
| γ3 | 0.1220 | 0.00 |
| γ4 | 0.0063 | 0.00 |
| γ5 | -0.0175 | -0.01 |
| γ6 | -0.0340 | -0.03 |
| γ7 | 0.0590 | 0.04 |
| γ8 | -0.0042 | -0.01 |
| γ9 | -0.0830 | -0.09 |
| γ10 | 0.1156 | 0.13 |
Persistence:
1.000
Half-life:
77016 days
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