V-Lab: Pakistani Rupee Spline-GARCH Volatility Analysis

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V-Lab

Pakistani Rupee Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:5.96% (-0.13%)

Analysis last updated: Friday, April 26, 2024 at 07:09 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6138	5.33
$α$	0.2350	7.47
$β$	0.6968	22.71
$γ_{1}$	-0.1119	-1.62
$γ_{2}$	-0.0699	-0.59
$γ_{3}$	0.4699	4.77
$γ_{4}$	-0.4835	-5.08
$γ_{5}$	0.3000	3.77
$γ_{6}$	-0.2767	-4.77
$γ_{7}$	0.5326	7.49
$γ_{8}$	-0.6933	-7.55
$γ_{9}$	0.5510	6.53
$γ_{10}$	-0.4430	-5.45

Estimation Period:
Dec 31, 1999 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts