V-Lab: Indian Rupee Spline-GARCH Volatility Analysis

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V-Lab

Indian Rupee Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, July 29th, 2024:0.99% (-0.06%)

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

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8057	0.16
$α$	0.1798	0.00
$β$	0.8202	0.02
$γ_{1}$	0.0712	0.00
$γ_{2}$	-0.2311	-0.00
$γ_{3}$	0.1866	0.00
$γ_{4}$	-0.0308	-0.00
$γ_{5}$	0.0204	0.01
$γ_{6}$	-0.0477	-0.29
$γ_{7}$	0.0115	0.02
$γ_{8}$	0.0748	0.10
$γ_{9}$	-0.0897	-0.23
$γ_{10}$	-0.0536	-0.01

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts