V-Lab: Pakistani Rupee MF2-GARCH Volatility Analysis

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V-Lab

Pakistani Rupee MF2-GARCH Volatility Analysis

Volatility Prediction for Wednesday, October 4th, 2023:5.63% (-2.99%)

Analysis last updated: Tuesday, October 3, 2023 at 07:05 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	96
$α$	0.7841	7841030.00
$β$	0.2573	2572570.00
$γ$	-0.0827	-827200.00
$λ_{1}$	0.1088	11.55
$λ_{2}$	0.6570	7.28
$λ_{3}$	0.0000	0.00

Estimation Period:
Jan 3, 1990 to Sep 29, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts