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 Wednesday, August 19th, 2026
1 Day
1.87%
decreased by 0.11%
1 Week
1.92%
decreased by 0.06%
1 Month
2.08%
increased by 0.10%
Analysis last updated: Tuesday, August 18, 2026 at 07:42 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jul 4, 1991 to Aug 14, 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 | 0.6637 | 0.05 |
α ARCH Response to squared shocks | 0.1573 | 0.00 |
β GARCH Volatility persistence | 0.8427 | 0.02 |
Spline Coefficients
K=10
| γ1 | 0.0041 | 0.00 |
| γ2 | -0.1200 | 0.00 |
| γ3 | 0.1261 | 0.00 |
| γ4 | 0.0016 | 0.00 |
| γ5 | -0.0122 | 0.00 |
| γ6 | -0.0388 | -0.03 |
| γ7 | 0.0635 | 0.04 |
| γ8 | -0.0098 | -0.02 |
| γ9 | -0.0774 | -0.11 |
| γ10 | 0.1120 | 0.15 |
Persistence:
1.000
Half-life:
77016 days
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