Pakistani Rupee Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Tuesday, October 20th, 2026
1 Day
3.82%
decreased by 0.08%
1 Week
4.18%
increased by 0.28%
1 Month
5.35%
increased by 1.45%
Analysis last updated: Monday, October 19, 2026 at 07:10 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Dec 31, 1999 to Oct 16, 2026Model Insight
With persistence 0.995, volatility shocks have a half-life of 135 trading days (~0.5 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
τ
Zero Slope Spline-GARCH Model
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High persistence: persistence 0.995, shock half-life ~135 days
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.9174 | 1.47 |
| αARCH | 0.1977 | 10.67*** |
| βGARCH | 0.7972 | 49.62*** |
Spline Coefficients
K=8
| γ1 | -0.2532 | -7.53*** |
| γ2 | 0.3210 | 5.30*** |
| γ3 | -0.0290 | -0.42 |
| γ4 | -0.1466 | -2.26** |
| γ5 | 0.2922 | 4.70*** |
| γ6 | -0.3286 | -3.99*** |
| γ7 | 0.1776 | 2.34** |
| γ8 | -0.0306 | -0.77 |
0.995
Persistence135d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.9174 | 1.47 |
α ARCH Response to squared shocks | 0.1977 | 10.67*** |
β GARCH Volatility persistence | 0.7972 | 49.62*** |
Spline Coefficients
K=8
| γ1 | -0.2532 | -7.53*** |
| γ2 | 0.3210 | 5.30*** |
| γ3 | -0.0290 | -0.42 |
| γ4 | -0.1466 | -2.26** |
| γ5 | 0.2922 | 4.70*** |
| γ6 | -0.3286 | -3.99*** |
| γ7 | 0.1776 | 2.34** |
| γ8 | -0.0306 | -0.77 |
Persistence:
0.995
Half-life:
135 days
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