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 Friday, November 13th, 2026
1 Day
4.47%
1 Week
4.49%
1 Month
4.55%
Analysis last updated: Thursday, November 12, 2026 at 07:23 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 30, 1990 to Nov 6, 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
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| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.8238 | 0.02 |
| αARCH | 0.1517 | 0.00 |
| βGARCH | 0.8483 | 0.02 |
| γ1 | 0.1446 | 0.00 |
| γ2 | -0.2922 | 0.00 |
| γ3 | 0.1554 | 0.01 |
| γ4 | 0.0014 | 0.00 |
| γ5 | -0.0059 | 0.00 |
| γ6 | -0.0414 | -0.02 |
| γ7 | 0.0593 | 0.20 |
| γ8 | -0.0083 | -0.05 |
| γ9 | -0.0679 | -0.15 |
| γ10 | 0.0992 | 0.33 |
1.000
Persistence86643d
Half-lifeZero Slope Spline-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.8238 | 0.02 |
α ARCH Response to squared shocks | 0.1517 | 0.00 |
β GARCH Volatility persistence | 0.8483 | 0.02 |
| γ1 | 0.1446 | 0.00 |
| γ2 | -0.2922 | 0.00 |
| γ3 | 0.1554 | 0.01 |
| γ4 | 0.0014 | 0.00 |
| γ5 | -0.0059 | 0.00 |
| γ6 | -0.0414 | -0.02 |
| γ7 | 0.0593 | 0.20 |
| γ8 | -0.0083 | -0.05 |
| γ9 | -0.0679 | -0.15 |
| γ10 | 0.0992 | 0.33 |
Persistence:
1.000
Half-life:
86643 days
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