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

V-Lab

Indian Rupee Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, July 1st, 2025:3.87% (-0.35%)

Analysis last updated: Monday, June 30, 2025 at 07:11 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6622	0.07
$α$	0.1670	0.00
$β$	0.8330	0.01
$γ_{1}$	-0.0232	-0.00
$γ_{2}$	-0.0722	-0.00
$γ_{3}$	0.1036	0.00
$γ_{4}$	0.0107	0.00
$γ_{5}$	-0.0376	-0.01
$γ_{6}$	-0.0122	-0.00
$γ_{7}$	0.0923	0.03
$γ_{8}$	-0.1404	-0.04
$γ_{9}$	0.1270	0.05

Estimation Period:
Jul 4, 1991 to Jun 27, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts