V-Lab
US Dollar to Indian Rupee Zero Slope 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 Monday, September 14th, 2026
1 Day
5.37%
1 Week
5.39%
1 Month
5.44%
Analysis last updated: Friday, September 11, 2026 at 08:45 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 30, 1990 to Sep 11, 2026Model Insight
With persistence 1.000, volatility shocks have a half-life of 86643 trading days (~343.8 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
Zero Slope Spline-GARCH Model
Tap to view equation
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.8053 | 0.01 |
| αARCH | 0.1514 | 0.00 |
| βGARCH | 0.8486 | 0.01 |
| γ1 | 0.1426 | 0.00 |
| γ2 | -0.2939 | 0.00 |
| γ3 | 0.1625 | 0.01 |
| γ4 | -0.0052 | 0.00 |
| γ5 | 0.0003 | 0.00 |
| γ6 | -0.0453 | -0.02 |
| γ7 | 0.0585 | 0.07 |
| γ8 | -0.0037 | 0.00 |
| γ9 | -0.0717 | -0.40 |
| γ10 | 0.1001 | 0.51 |
1.000
Persistence86643d
Half-lifeZero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.8053 | 0.01 |
α ARCH Response to squared shocks | 0.1514 | 0.00 |
β GARCH Volatility persistence | 0.8486 | 0.01 |
| γ1 | 0.1426 | 0.00 |
| γ2 | -0.2939 | 0.00 |
| γ3 | 0.1625 | 0.01 |
| γ4 | -0.0052 | 0.00 |
| γ5 | 0.0003 | 0.00 |
| γ6 | -0.0453 | -0.02 |
| γ7 | 0.0585 | 0.07 |
| γ8 | -0.0037 | 0.00 |
| γ9 | -0.0717 | -0.40 |
| γ10 | 0.1001 | 0.51 |
Persistence:
1.000
Half-life:
86643 days
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