V-Lab: Indian Rupee Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Indian Rupee Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, September 18th, 2024:0.89% (+0.08%)

Analysis last updated: Tuesday, September 17, 2024 at 07:03 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2859	0.02
$α$	0.1784	0.00
$β$	0.8216	0.02
$γ_{1}$	0.1247	0.00
$γ_{2}$	-0.2904	-0.00
$γ_{3}$	0.1931	0.01
$γ_{4}$	-0.0307	-0.00
$γ_{5}$	0.0178	0.01
$γ_{6}$	-0.0462	-0.47
$γ_{7}$	0.0147	0.04
$γ_{8}$	0.0679	0.09
$γ_{9}$	-0.0821	-0.12
$γ_{10}$	-0.0802	-0.02

Estimation Period:
Jul 4, 1991 to Sep 13, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts