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 Tuesday, September 8th, 2026
1 Day
4.02%
decreased by 0.34%
1 Week
4.04%
decreased by 0.32%
1 Month
4.13%
decreased by 0.23%
Analysis last updated: Monday, September 7, 2026 at 07:05 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jul 4, 1991 to Sep 4, 2026Model Insight
With persistence 1.000, volatility shocks have a half-life of 86643 trading days (~343.8 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 ~86643 days
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.6661 | 0.04 |
| αARCH | 0.1554 | 0.00 |
| βGARCH | 0.8446 | 0.02 |
Spline Coefficients
K=10
| γ1 | -0.0006 | 0.00 |
| γ2 | -0.1115 | 0.00 |
| γ3 | 0.1188 | 0.00 |
| γ4 | 0.0092 | 0.00 |
| γ5 | -0.0197 | -0.01 |
| γ6 | -0.0342 | -0.02 |
| γ7 | 0.0656 | 0.03 |
| γ8 | -0.0197 | -0.01 |
| γ9 | -0.0614 | -0.19 |
| γ10 | 0.0978 | 0.87 |
1.000
Persistence86643d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.6661 | 0.04 |
α ARCH Response to squared shocks | 0.1554 | 0.00 |
β GARCH Volatility persistence | 0.8446 | 0.02 |
Spline Coefficients
K=10
| γ1 | -0.0006 | 0.00 |
| γ2 | -0.1115 | 0.00 |
| γ3 | 0.1188 | 0.00 |
| γ4 | 0.0092 | 0.00 |
| γ5 | -0.0197 | -0.01 |
| γ6 | -0.0342 | -0.02 |
| γ7 | 0.0656 | 0.03 |
| γ8 | -0.0197 | -0.01 |
| γ9 | -0.0614 | -0.19 |
| γ10 | 0.0978 | 0.87 |
Persistence:
1.000
Half-life:
86643 days
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