V-Lab
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, September 21st, 2026
1 Day
3.12%
1 Week
3.14%
1 Month
3.23%
Analysis last updated: Sunday, September 20, 2026 at 03:15 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jul 4, 1991 to Sep 18, 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.
Zero Slope Spline-GARCH Model
Tap to view equation
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.7131 | 0.01 |
| αARCH | 0.1559 | 0.00 |
| βGARCH | 0.8441 | 0.01 |
| γ1 | -0.0018 | 0.00 |
| γ2 | -0.1146 | 0.00 |
| γ3 | 0.1269 | 0.00 |
| γ4 | 0.0026 | 0.00 |
| γ5 | -0.0158 | 0.00 |
| γ6 | -0.0360 | -0.01 |
| γ7 | 0.0671 | 0.01 |
| γ8 | -0.0217 | -0.01 |
| γ9 | -0.0604 | -0.13 |
| γ10 | 0.0986 | 0.60 |
1.000
Persistence99021d
Half-lifeZero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.7131 | 0.01 |
α ARCH Response to squared shocks | 0.1559 | 0.00 |
β GARCH Volatility persistence | 0.8441 | 0.01 |
| γ1 | -0.0018 | 0.00 |
| γ2 | -0.1146 | 0.00 |
| γ3 | 0.1269 | 0.00 |
| γ4 | 0.0026 | 0.00 |
| γ5 | -0.0158 | 0.00 |
| γ6 | -0.0360 | -0.01 |
| γ7 | 0.0671 | 0.01 |
| γ8 | -0.0217 | -0.01 |
| γ9 | -0.0604 | -0.13 |
| γ10 | 0.0986 | 0.60 |
Persistence:
1.000
Half-life:
99021 days
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