| Panel A: Performance during volatile period | ||||
| USDINR | EURINR | |||
| GARCH (1,1) | EGARCH(1,1) | GARCH (1,1) | EGARCH(1,1) | |
| MSE | 0.00141 | 0.00168 | 0.00145 | 0.00175 |
| MAE | 0.02204 | 0.02479 | 0.02346 | 0.02192 |
| Panel B: Performance during calm period | ||||
| USDINR | EURINR | |||
| GARCH (1,1) | EGARCH(1,1) | GARCH (1,1) | EGARCH(1,1) | |
| MSE | 0.00001 | 0.00005 | 0.00028 | 0.00027 |
| MAE | 0.00178 | 0.00667 | 0.00937 | 0.00819 |