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 Monday, April 29th, 2024:1.74% (-0.11%)

Analysis last updated: Friday, April 26, 2024 at 07:05 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9571	1.09
$α$	0.1769	9.60
$β$	0.8230	44.95
$γ_{1}$	0.2437	0.68
$γ_{2}$	-0.4285	-1.01
$γ_{3}$	0.2202	1.46
$γ_{4}$	-0.0467	-0.47
$γ_{5}$	0.0330	0.50
$γ_{6}$	-0.0523	-1.11
$γ_{7}$	0.0049	0.10
$γ_{8}$	0.0834	1.56
$γ_{9}$	-0.0892	-1.59
$γ_{10}$	-0.0518	-0.66

Estimation Period:
Jul 4, 1991 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts