V-Lab: Indian Rupee Spline-GARCH Volatility Analysis

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V-Lab

Indian Rupee Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, January 14th, 2025:3.02% (+0.25%)

Analysis last updated: Monday, January 13, 2025 at 07:04 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7251	0.06
$α$	0.1808	0.00
$β$	0.8192	0.01
$γ_{1}$	0.0311	0.00
$γ_{2}$	-0.1748	-0.00
$γ_{3}$	0.1631	0.00
$γ_{4}$	-0.0169	-0.00
$γ_{5}$	0.0087	0.00
$γ_{6}$	-0.0456	-0.05
$γ_{7}$	0.0244	0.03
$γ_{8}$	0.0600	0.02
$γ_{9}$	-0.0962	-0.02
$γ_{10}$	-0.0450	-0.01

Estimation Period:
Jul 4, 1991 to Jan 10, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts