Pakistani Rupee GJR-GARCH Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Monday, May 25th, 2026
1 Day
2.70%
decreased by 0.03%
1 Week
2.75%
increased by 0.02%
1 Month
2.91%
increased by 0.18%
Analysis last updated: Sunday, May 24, 2026 at 01:34 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
| param | t-stat | |
|---|---|---|
| 0.0005 | 12.30 | |
| 0.0715 | 17.15 | |
| 0.9369 | 350.90 | |
| -0.0168 | -2.42 |
Estimation Period:
Dec 31, 1999 to May 22, 2026
Dec 31, 1999 to May 22, 2026
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