V-Lab: Mauritian Rupee Spline-GARCH Volatility Analysis

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V-Lab

Mauritian Rupee Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 2nd, 2024:3.20% (-0.14%)

Analysis last updated: Wednesday, May 1, 2024 at 07:12 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.9946	2.91
$α$	0.0943	9.81
$β$	0.8907	82.65
$γ_{1}$	0.0334	0.53
$γ_{2}$	0.1174	1.31
$γ_{3}$	-0.3725	-4.49
$γ_{4}$	0.4479	4.92
$γ_{5}$	-0.3914	-6.68
$γ_{6}$	0.1732	2.97
$γ_{7}$	0.0617	0.93
$γ_{8}$	-0.1089	-1.79
$γ_{9}$	0.1224	1.83
$γ_{10}$	-0.3162	-2.47

Estimation Period:
Jun 28, 1993 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts