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 Thursday, March 13th, 2025:1.95% (-0.12%)

Analysis last updated: Wednesday, March 12, 2025 at 07:05 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6898	0.05
$α$	0.1739	0.00
$β$	0.8261	0.01
$γ_{1}$	0.0220	0.00
$γ_{2}$	-0.1561	-0.00
$γ_{3}$	0.1454	0.00
$γ_{4}$	0.0003	0.00
$γ_{5}$	-0.0106	-0.02
$γ_{6}$	-0.0277	-0.03
$γ_{7}$	0.0111	0.03
$γ_{8}$	0.0807	0.03
$γ_{9}$	-0.1634	-0.04
$γ_{10}$	0.1585	0.05

Estimation Period:
Jul 4, 1991 to Mar 7, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts