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

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V-Lab

Indian Rupee Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, January 15th, 2025:3.20% (+0.09%)

Analysis last updated: Tuesday, January 14, 2025 at 07:04 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6632	0.05
$α$	0.1730	0.00
$β$	0.8270	0.01
$γ_{1}$	-0.0265	-0.00
$γ_{2}$	-0.0735	-0.00
$γ_{3}$	0.1082	0.00
$γ_{4}$	0.0115	0.00
$γ_{5}$	-0.0356	-0.00
$γ_{6}$	-0.0227	-0.00
$γ_{7}$	0.1063	0.01
$γ_{8}$	-0.1500	-0.02
$γ_{9}$	0.1309	0.02

Estimation Period:
Jul 4, 1991 to Jan 10, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts