V-Lab: Pakistani Rupee Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Pakistani Rupee Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, April 19th, 2024:8.65% (+0.22%)

Analysis last updated: Thursday, April 18, 2024 at 07:04 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.5987	5.15
$α$	0.2369	7.56
$β$	0.6964	22.90
$γ_{1}$	-0.1273	-1.83
$γ_{2}$	-0.0435	-0.36
$γ_{3}$	0.4458	4.48
$γ_{4}$	-0.4556	-4.76
$γ_{5}$	0.2722	3.42
$γ_{6}$	-0.2517	-4.35
$γ_{7}$	0.5061	7.08
$γ_{8}$	-0.6525	-7.12
$γ_{9}$	0.4692	6.08
$γ_{10}$	-0.2351	-5.36

Estimation Period:
Dec 31, 1999 to Apr 12, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts