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

V-Lab

| |

V-Lab

Pakistani Rupee Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, September 20th, 2024:7.18% (+0.72%)

Analysis last updated: Thursday, September 19, 2024 at 07:31 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6103	5.23
$α$	0.2375	8.11
$β$	0.6992	24.37
$γ_{1}$	-0.1329	-2.03
$γ_{2}$	-0.0247	-0.22
$γ_{3}$	0.4239	4.45
$γ_{4}$	-0.4457	-4.69
$γ_{5}$	0.2608	3.04
$γ_{6}$	-0.2035	-3.35
$γ_{7}$	0.4240	7.21
$γ_{8}$	-0.5938	-7.71
$γ_{9}$	0.4340	5.83
$γ_{10}$	-0.1929	-4.47

Estimation Period:
Dec 31, 1999 to Sep 13, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts