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Parameter	Value	t-statistic
m window Rolling window length	56
α ARCH Response to squared shocks	0.1732	11.92***
β GARCH Volatility persistence	0.5200	21.03***
γ leverage Additional response to negative shocks	0.0337	0.74
λ₁ tau intercept Baseline long-term coefficient	0.0242	0.59
λ₂ forecast adj. Forecast performance sensitivity	0.8003	1.07
λ₃ tau persistence Long-term factor persistence	0.0889	0.12

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Pakistani Rupee MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other Pakistani Rupee Analyses