V-Lab: Indian Rupee Spline-GARCH Volatility Analysis

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V-Lab

Indian Rupee Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, October 24th, 2025:4.19% (-0.12%)

Analysis last updated: Thursday, October 23, 2025 at 07:12 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7545	0.05
$α$	0.1706	0.00
$β$	0.8294	0.01
$γ_{1}$	0.0225	0.00
$γ_{2}$	-0.1542	-0.00
$γ_{3}$	0.1456	0.00
$γ_{4}$	-0.0036	-0.00
$γ_{5}$	-0.0085	-0.00
$γ_{6}$	-0.0350	-0.02
$γ_{7}$	0.0322	0.02
$γ_{8}$	0.0551	0.02
$γ_{9}$	-0.1682	-0.03
$γ_{10}$	0.2897	0.06

Estimation Period:
Jul 4, 1991 to Oct 18, 2025

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts