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 Friday, June 2nd, 2023:2.91% (+0.25%)

Analysis last updated: Thursday, June 1, 2023 at 07:03 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.3215	1.91
$α$	0.1772	8.84
$β$	0.8197	54.98
$γ_{1}$	0.4493	1.86
$γ_{2}$	-0.6508	-2.12
$γ_{3}$	0.2372	1.53
$γ_{4}$	-0.0528	-0.50
$γ_{5}$	0.0457	0.65
$γ_{6}$	-0.0530	-0.90
$γ_{7}$	-0.0199	-0.31
$γ_{8}$	0.1128	1.82
$γ_{9}$	-0.1066	-2.13
$γ_{10}$	0.0500	1.52

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts