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 Monday, July 29th, 2024:1.28% (-0.04%)

Analysis last updated: Friday, July 26, 2024 at 07:07 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7591	0.55
$α$	0.1758	11.67
$β$	0.8236	60.27
$γ_{1}$	0.2679	0.83
$γ_{2}$	-0.4347	-1.12
$γ_{3}$	0.1856	1.22
$γ_{4}$	-0.0141	-0.14
$γ_{5}$	0.0038	0.06
$γ_{6}$	-0.0337	-0.74
$γ_{7}$	-0.0024	-0.05
$γ_{8}$	0.1024	2.06
$γ_{9}$	-0.1673	-3.72
$γ_{10}$	0.1445	4.94

Estimation Period:
Jul 4, 1991 to Jul 26, 2024

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Volatility Forecasts

Volatility Forecasts