V-Lab
Pakistani Rupee GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, September 29th, 2026
1 Day
68.69%
decreased by 2.34%
1 Week
68.80%
decreased by 2.23%
1 Month
69.23%
decreased by 1.80%
Analysis last updated: Monday, September 28, 2026 at 07:10 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Dec 31, 1999 to Sep 25, 2026Model Insight
The estimated Student-t degrees of freedom v = 2.00 sit at the infinite-variance boundary (v → 2): the model is attributing extreme moves to heavy tails rather than to volatility, so the volatility scale is unreliable here. See the boundary-parameters flag.
𝑓
GAS-GARCH-T Model
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Unreliable tails: v = 2.00 sits at the infinite-variance boundary
| Param | Value | t-stat |
|---|---|---|
| ωconst | 37.0787 | 2.57** |
| αARCH | 0.0424 | 33.81*** |
| βGARCH | 0.9984 | 1,697.93*** |
| νDF | 2.0015 |
0.998
Persistence428d
Half-life𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 37.0787 | 2.57** |
α ARCH Response to squared shocks | 0.0424 | 33.81*** |
β GARCH Volatility persistence | 0.9984 | 1,697.93*** |
ν DF Student-t tail thickness | 2.0015 |
Persistence:
0.998
Half-life:
428 days
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