V-Lab: Indian Rupee Spline-GARCH Volatility Analysis

V-Lab

Indian Rupee Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, April 25th, 2025:3.80% (+0.02%)

Analysis last updated: Thursday, April 24, 2025 at 07:03 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7735	0.11
$α$	0.1766	0.00
$β$	0.8234	0.01
$γ_{1}$	0.0445	0.00
$γ_{2}$	-0.1878	-0.00
$γ_{3}$	0.1617	0.00
$γ_{4}$	-0.0122	-0.00
$γ_{5}$	-0.0001	-0.00
$γ_{6}$	-0.0393	-0.10
$γ_{7}$	0.0274	0.06
$γ_{8}$	0.0542	0.02
$γ_{9}$	-0.1044	-0.02
$γ_{10}$	-0.0152	-0.00

Estimation Period:
Jul 4, 1991 to Apr 18, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts