V-Lab: Indian Rupee Spline-GARCH Volatility Analysis

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V-Lab

Indian Rupee Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, October 4th, 2023:1.99% (-0.06%)

Analysis last updated: Tuesday, October 3, 2023 at 07:03 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8459	0.12
$α$	0.1805	0.00
$β$	0.8195	0.01
$γ_{1}$	0.0981	0.00
$γ_{2}$	-0.2789	-0.00
$γ_{3}$	0.2200	0.00
$γ_{4}$	-0.0591	-0.00
$γ_{5}$	0.0498	0.06
$γ_{6}$	-0.0581	-0.19
$γ_{7}$	-0.0101	-0.09
$γ_{8}$	0.1038	0.07
$γ_{9}$	-0.0986	-1.04
$γ_{10}$	0.0060	0.00

Estimation Period:
Jul 4, 1991 to Sep 29, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts