V-Lab: Pakistani Rupee Spline-GARCH Volatility Analysis

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V-Lab

Pakistani Rupee Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, April 26th, 2024:6.40% (+0.10%)

Analysis last updated: Thursday, April 25, 2024 at 07:04 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6143	5.35
$α$	0.2351	7.45
$β$	0.6960	22.57
$γ_{1}$	-0.1115	-1.62
$γ_{2}$	-0.0702	-0.59
$γ_{3}$	0.4696	4.78
$γ_{4}$	-0.4834	-5.09
$γ_{5}$	0.3000	3.78
$γ_{6}$	-0.2764	-4.78
$γ_{7}$	0.5314	7.51
$γ_{8}$	-0.6907	-7.54
$γ_{9}$	0.5456	6.48
$γ_{10}$	-0.4254	-5.20

Estimation Period:
Dec 31, 1999 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts