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 Friday, October 2nd, 2026
1 Day
2.33%
decreased by 0.17%
1 Week
2.36%
decreased by 0.14%
1 Month
2.49%
decreased by 0.01%
Analysis last updated: Thursday, October 1, 2026 at 08:53 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 30, 1990 to Sep 25, 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.
τ
Zero Slope Spline-GARCH Model
Tap to view equation
High persistence: persistence 1.000, shock half-life ~86643 days
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.7825 | 0.01 |
| αARCH | 0.1525 | 0.00 |
| βGARCH | 0.8475 | 0.02 |
Spline Coefficients
K=10
| γ1 | 0.1429 | 0.00 |
| γ2 | -0.2925 | 0.00 |
| γ3 | 0.1585 | 0.01 |
| γ4 | -0.0010 | 0.00 |
| γ5 | -0.0035 | 0.00 |
| γ6 | -0.0421 | -0.02 |
| γ7 | 0.0568 | 0.12 |
| γ8 | -0.0026 | -0.01 |
| γ9 | -0.0752 | -0.12 |
| γ10 | 0.1044 | 0.17 |
1.000
Persistence86643d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.7825 | 0.01 |
α ARCH Response to squared shocks | 0.1525 | 0.00 |
β GARCH Volatility persistence | 0.8475 | 0.02 |
Spline Coefficients
K=10
| γ1 | 0.1429 | 0.00 |
| γ2 | -0.2925 | 0.00 |
| γ3 | 0.1585 | 0.01 |
| γ4 | -0.0010 | 0.00 |
| γ5 | -0.0035 | 0.00 |
| γ6 | -0.0421 | -0.02 |
| γ7 | 0.0568 | 0.12 |
| γ8 | -0.0026 | -0.01 |
| γ9 | -0.0752 | -0.12 |
| γ10 | 0.1044 | 0.17 |
Persistence:
1.000
Half-life:
86643 days
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