V-Lab: Pakistani Rupee MF2-GARCH Volatility Analysis

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V-Lab

Pakistani Rupee MF2-GARCH Volatility Analysis

Volatility Prediction for Friday, April 19th, 2024:4.87% (+0.40%)

Analysis last updated: Thursday, April 18, 2024 at 07:05 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	56
$α$	0.1682	9.97
$β$	0.5310	21.21
$γ$	0.0445	0.84
$λ_{1}$	0.0245	0.59
$λ_{2}$	0.8001	1.03
$λ_{3}$	0.0991	0.13

Estimation Period:
Jan 3, 1990 to Apr 12, 2024

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts