V-Lab: Pakistani Rupee Zero Slope Spline-GARCH Volatility Analysis

V-Lab

Pakistani Rupee Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, July 8th, 2025:4.05% (-0.03%)

Analysis last updated: Monday, July 7, 2025 at 07:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6888	3.55
$α$	0.2258	9.40
$β$	0.7460	35.65
$γ_{1}$	-0.1435	-2.08
$γ_{2}$	-0.0006	-0.01
$γ_{3}$	0.3911	3.98
$γ_{4}$	-0.4082	-3.94
$γ_{5}$	0.2021	1.87
$γ_{6}$	-0.0641	-0.75
$γ_{7}$	0.2114	2.93
$γ_{8}$	-0.4401	-5.27
$γ_{9}$	0.3752	3.81
$γ_{10}$	-0.1501	-2.37

Estimation Period:
Dec 31, 1999 to Jul 4, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts