V-Lab
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, July 27th, 2026
1 Day
4.05%
1 Week
4.08%
1 Month
4.19%
Analysis last updated: Sunday, July 26, 2026 at 01:34 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Dec 31, 1999 to Jul 24, 2026Model Insight
Estimated persistence of 1.000 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.
Inverse leverage: Positive returns increase volatility 30% more than negative returns
GJR-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0005 | 12.38*** |
α ARCH Response to squared shocks | 0.0714 | 17.12*** |
β GARCH Volatility persistence | 0.9368 | 351.79*** |
γ leverage Additional response to negative shocks | -0.0164 | -2.36** |
Persistence:
1.000
Half-life:
-
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