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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9700	1.54
α ARCH Response to squared shocks	0.2000	11.26***
β GARCH Volatility persistence	0.7945	50.68***

γ₁	-0.2408	-5.71***
γ₂	0.2385	3.04***
γ₃	0.1084	1.46
γ₄	-0.1870	-3.46***
γ₅	0.0789	1.33
γ₆	0.1566	2.34**
γ₇	-0.3680	-4.45***
γ₈	0.3305	3.06***
γ₉	-0.1440	-1.91*

V-Lab

Pakistani Rupee Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Pakistani Rupee Analyses