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{name} Model Equation

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Param	Value	t-stat
mwindow	56
αARCH	0.1726	4.72***
βGARCH	0.5208	9.37***
γleverage	0.0337	0.65
λ₁tau intercept	0.0241	1.52
λ₂forecast adj.	0.7998	2.84***
λ₃tau persistence	0.0885	0.28

Parameter	Value	t-statistic
m window Rolling window length	56
α ARCH Response to squared shocks	0.1726	4.72***
β GARCH Volatility persistence	0.5208	9.37***
γ leverage Additional response to negative shocks	0.0337	0.65
λ₁ tau intercept Baseline long-term coefficient	0.0241	1.52
λ₂ forecast adj. Forecast performance sensitivity	0.7998	2.84***
λ₃ tau persistence Long-term factor persistence	0.0885	0.28

V-Lab

Pakistani Rupee MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Pakistani Rupee Analyses