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Param	Value	t-stat
mwindow	56
αARCH	0.1733	4.74***
βGARCH	0.5188	9.29***
γleverage	0.0326	0.63
λ₁tau intercept	0.0240	1.52
λ₂forecast adj.	0.8004	2.84***
λ₃tau persistence	0.0882	0.28

Parameter	Value	t-statistic
m window Rolling window length	56
α ARCH Response to squared shocks	0.1733	4.74***
β GARCH Volatility persistence	0.5188	9.29***
γ leverage Additional response to negative shocks	0.0326	0.63
λ₁ tau intercept Baseline long-term coefficient	0.0240	1.52
λ₂ forecast adj. Forecast performance sensitivity	0.8004	2.84***
λ₃ tau persistence Long-term factor persistence	0.0882	0.28

V-Lab

Pakistani Rupee MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Pakistani Rupee Analyses