V-Lab: Mauritian Rupee GJR-GARCH Volatility Analysis

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V-Lab

Mauritian Rupee GJR-GARCH Volatility Analysis

Volatility Prediction for Friday, May 17th, 2024:4.30% (+0.40%)

Analysis last updated: Thursday, May 16, 2024 at 07:28 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0010	15.92
$α$	0.0657	22.56
$β$	0.9346	500.85
$γ$	-0.0006	-0.12

Estimation Period:
Jun 28, 1993 to May 10, 2024

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Volatility Forecasts

Volatility Forecasts