Mauritian Rupee GJR-GARCH Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Monday, June 15th, 2026
1 Day
5.65%
decreased by 0.18%
1 Week
5.70%
decreased by 0.13%
1 Month
5.89%
increased by 0.06%
Analysis last updated: Sunday, June 14, 2026 at 01:34 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
| param | t-stat | |
|---|---|---|
| 0.0011 | 15.77 | |
| 0.0748 | 22.99 | |
| 0.9315 | 501.87 | |
| -0.0125 | -2.24 |
Estimation Period:
Jun 28, 1993 to Jun 12, 2026
Jun 28, 1993 to Jun 12, 2026
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