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

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V-Lab

Pakistani Rupee Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, February 5th, 2025:17.77% (+7.23%)

Analysis last updated: Tuesday, February 4, 2025 at 07:09 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6111	4.54
$α$	0.2298	8.73
$β$	0.7247	29.56
$γ_{1}$	-0.1445	-2.15
$γ_{2}$	-0.0050	-0.04
$γ_{3}$	0.4072	4.21
$γ_{4}$	-0.4305	-4.34
$γ_{5}$	0.2377	2.46
$γ_{6}$	-0.1420	-1.99
$γ_{7}$	0.3272	5.32
$γ_{8}$	-0.5232	-6.86
$γ_{9}$	0.3991	4.87
$γ_{10}$	-0.1590	-3.22

Estimation Period:
Dec 31, 1999 to Jan 31, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts