Pakistani Rupee AGARCH Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Monday, October 12th, 2026
1 Day
3.70%
increased by 0.32%
1 Week
3.76%
increased by 0.38%
1 Month
3.99%
increased by 0.61%
Analysis last updated: Sunday, October 11, 2026 at 03:06 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Dec 31, 1999 to Oct 9, 2026Model Insight
Estimated persistence of 1.009 is at or above 1 (non-stationary): volatility shocks do not decay and the long-run variance is undefined, so long-horizon forecasts should be treated with caution.
σ
AGARCH Model
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High persistence: persistence 1.009 ≥ 1, shocks do not decay
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0002 | 0.26 |
| αARCH | 0.0773 | 6.00*** |
| βGARCH | 0.9316 | 90.71*** |
| γleverage | -0.0456 | -0.42 |
1.009
Persistence-
Half-lifeσ
AGARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0002 | 0.26 |
α ARCH Response to squared shocks | 0.0773 | 6.00*** |
β GARCH Volatility persistence | 0.9316 | 90.71*** |
γ leverage Additional response to negative shocks | -0.0456 | -0.42 |
Persistence:
1.009
Half-life:
-
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