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 Monday, July 27th, 2026
1 Day
2.58%
decreased by 0.22%
1 Week
2.61%
decreased by 0.19%
1 Month
2.71%
decreased by 0.09%
Analysis last updated: Sunday, July 26, 2026 at 01:53 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jul 4, 1991 to Jul 24, 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 | 0.6643 | 0.04 |
α ARCH Response to squared shocks | 0.1574 | 0.00 |
β GARCH Volatility persistence | 0.8426 | 0.02 |
Spline Coefficients
K=10
| γ1 | 0.0017 | 0.00 |
| γ2 | -0.1175 | 0.00 |
| γ3 | 0.1259 | 0.00 |
| γ4 | 0.0014 | 0.00 |
| γ5 | -0.0112 | 0.00 |
| γ6 | -0.0393 | -0.02 |
| γ7 | 0.0609 | 0.03 |
| γ8 | -0.0032 | -0.02 |
| γ9 | -0.0847 | -0.07 |
| γ10 | 0.1162 | 0.10 |
Persistence:
1.000
Half-life:
77016 days
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