V-Lab
US Dollar to Indian Rupee 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
6.80%
increased by 0.85%
1 Week
7.19%
increased by 1.24%
1 Month
8.56%
increased by 2.61%
Analysis last updated: Friday, September 11, 2026 at 08:47 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 53319 trading days (~211.6 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
τ
Spline-GARCH Model
Tap to view equation
High persistence: persistence 1.000, shock half-life ~53319 days
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.9649 | 0.07 |
| αARCH | 0.1667 | 0.01 |
| βGARCH | 0.8333 | 0.06 |
Spline Coefficients
K=10
| γ1 | 0.1915 | 0.00 |
| γ2 | -0.3573 | 0.00 |
| γ3 | 0.1850 | 0.03 |
| γ4 | -0.0178 | -0.01 |
| γ5 | 0.0080 | 0.02 |
| γ6 | -0.0502 | -0.20 |
| γ7 | 0.0572 | 0.37 |
| γ8 | 0.0121 | 0.08 |
| γ9 | -0.1194 | -0.17 |
| γ10 | 0.3118 | 0.27 |
1.000
Persistence53319d
Half-lifeτ
Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.9649 | 0.07 |
α ARCH Response to squared shocks | 0.1667 | 0.01 |
β GARCH Volatility persistence | 0.8333 | 0.06 |
Spline Coefficients
K=10
| γ1 | 0.1915 | 0.00 |
| γ2 | -0.3573 | 0.00 |
| γ3 | 0.1850 | 0.03 |
| γ4 | -0.0178 | -0.01 |
| γ5 | 0.0080 | 0.02 |
| γ6 | -0.0502 | -0.20 |
| γ7 | 0.0572 | 0.37 |
| γ8 | 0.0121 | 0.08 |
| γ9 | -0.1194 | -0.17 |
| γ10 | 0.3118 | 0.27 |
Persistence:
1.000
Half-life:
53319 days
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