Pakistani Rupee GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, November 13th, 2026
1 Day
5.92%
1 Week
5.93%
1 Month
5.97%
Analysis last updated: Thursday, November 12, 2026 at 07:22 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Dec 31, 1999 to Nov 6, 2026Model Insight
With persistence 0.998, volatility shocks have a half-life of 314 trading days (~1.2 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 2.72 degrees of freedom, capturing fatter tails than a normal distribution.
GAS-GARCH-T Model
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| Param | Value | t-stat |
|---|---|---|
| ωlong-run | 0.2853 | 2.54** |
| αscore | 0.0820 | 32.64*** |
| βpersistence | 0.9978 | 1,228.82*** |
| νDF | 2.7151 | 96.16*** |
0.998
Persistence314d
Half-lifeGAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω long-run Long-run variance given a price move | 0.2853 | 2.54** |
α score Weight on the scaled score | 0.0820 | 32.64*** |
β persistence Volatility persistence | 0.9978 | 1,228.82*** |
ν DF Student-t tail thickness | 2.7151 | 96.16*** |
Persistence:
0.998
Half-life:
314 days
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