V-Lab
US Dollar to Indian Rupee GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, September 29th, 2026
1 Day
35.20%
increased by 1.23%
1 Week
35.17%
increased by 1.20%
1 Month
35.06%
increased by 1.09%
Analysis last updated: Monday, September 28, 2026 at 07:10 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 30, 1990 to Sep 25, 2026Model Insight
The estimated Student-t degrees of freedom v = 2.01 sit at the infinite-variance boundary (v → 2): the model is attributing extreme moves to heavy tails rather than to volatility, so the volatility scale is unreliable here. See the boundary-parameters flag.
𝑓
GAS-GARCH-T Model
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Unreliable tails: v = 2.01 sits at the infinite-variance boundary
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.1955 | 2.16** |
| αARCH | 0.0542 | 45.94*** |
| βGARCH | 0.9990 | 2,089.96*** |
| νDF | 2.0052 |
0.999
Persistence693d
Half-life𝑓
GAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.1955 | 2.16** |
α ARCH Response to squared shocks | 0.0542 | 45.94*** |
β GARCH Volatility persistence | 0.9990 | 2,089.96*** |
ν DF Student-t tail thickness | 2.0052 |
Persistence:
0.999
Half-life:
693 days
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