V-Lab: Indian Rupee Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Indian Rupee Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, October 4th, 2024:1.72% (-0.11%)

Analysis last updated: Thursday, October 3, 2024 at 07:02 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6783	0.06
$α$	0.1725	0.00
$β$	0.8275	0.01
$γ_{1}$	-0.0107	-0.00
$γ_{2}$	-0.0953	-0.00
$γ_{3}$	0.1154	0.00
$γ_{4}$	0.0093	0.00
$γ_{5}$	-0.0316	-0.00
$γ_{6}$	-0.0280	-0.01
$γ_{7}$	0.1071	0.02
$γ_{8}$	-0.1417	-0.02
$γ_{9}$	0.1201	0.03

Estimation Period:
Jul 4, 1991 to Sep 27, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts