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, January 30th, 2023:4.41% (-0.30%)

Analysis last updated: Friday, January 27, 2023, 07:12 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.4942	2.28
$α$	0.1787	9.09
$β$	0.8183	54.25
$γ_{1}$	0.4749	1.91
$γ_{2}$	-0.6859	-2.18
$γ_{3}$	0.2535	1.62
$γ_{4}$	-0.0684	-0.64
$γ_{5}$	0.0641	0.87
$γ_{6}$	-0.0685	-1.05
$γ_{7}$	-0.0098	-0.14
$γ_{8}$	0.0986	1.51
$γ_{9}$	-0.0810	-1.57
$γ_{10}$	0.0264	0.76

Estimation Period:
Jul 4, 1991 to Jan 27, 2023

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Volatility Forecasts

Volatility Forecasts