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, November 2nd, 2026
1 Day
3.49%
decreased by 0.24%
1 Week
3.51%
decreased by 0.22%
1 Month
3.60%
decreased by 0.13%
Analysis last updated: Friday, October 30, 2026 at 07:04 PM UTC
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How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jul 4, 1991 to Oct 30, 2026Model Insight
With persistence 1.000, volatility shocks have a half-life of 138629 trading days (~550.1 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 ~138629 days
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.7574 | |
| αARCH | 0.1569 | |
| βGARCH | 0.8431 |
Spline Coefficients
K=10
| γ1 | -0.0067 | |
| γ2 | -0.1101 | |
| γ3 | 0.1278 | |
| γ4 | 0.0043 | |
| γ5 | -0.0214 | |
| γ6 | -0.0331 | |
| γ7 | 0.0741 | |
| γ8 | -0.0378 | |
| γ9 | -0.0433 | |
| γ10 | 0.0885 |
1.000
Persistence138629d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.7574 | |
α ARCH Response to squared shocks | 0.1569 | |
β GARCH Volatility persistence | 0.8431 |
Spline Coefficients
K=10
| γ1 | -0.0067 | |
| γ2 | -0.1101 | |
| γ3 | 0.1278 | |
| γ4 | 0.0043 | |
| γ5 | -0.0214 | |
| γ6 | -0.0331 | |
| γ7 | 0.0741 | |
| γ8 | -0.0378 | |
| γ9 | -0.0433 | |
| γ10 | 0.0885 |
Persistence:
1.000
Half-life:
138629 days
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