V-Lab
Indian Rupee Spline-GARCH Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Friday, August 21st, 2026
1 Day
4.75%
increased by 0.02%
1 Week
5.40%
increased by 0.67%
1 Month
7.47%
increased by 2.74%
Analysis last updated: Thursday, August 20, 2026 at 07:57 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jul 4, 1991 to Aug 14, 2026Model Insight
With persistence 1.000, volatility shocks have a half-life of 99021 trading days (~392.9 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
τ
Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.4203 | 0.01 |
α ARCH Response to squared shocks | 0.1692 | 0.00 |
β GARCH Volatility persistence | 0.8308 | 0.01 |
Spline Coefficients
K=10
| γ1 | 0.0815 | 0.00 |
| γ2 | -0.2159 | 0.00 |
| γ3 | 0.1500 | 0.00 |
| γ4 | -0.0048 | 0.00 |
| γ5 | -0.0100 | 0.00 |
| γ6 | -0.0416 | -0.01 |
| γ7 | 0.0643 | 0.01 |
| γ8 | -0.0008 | 0.00 |
| γ9 | -0.1154 | -0.03 |
| γ10 | 0.3313 | 0.06 |
Persistence:
1.000
Half-life:
99021 days
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