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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9725	1.54
α ARCH Response to squared shocks	0.2002	11.27***
β GARCH Volatility persistence	0.7943	50.62***

γ₁	-0.2409	-5.71***
γ₂	0.2386	3.04***
γ₃	0.1083	1.46
γ₄	-0.1869	-3.46***
γ₅	0.0789	1.33
γ₆	0.1568	2.34**
γ₇	-0.3686	-4.45***
γ₈	0.3318	3.06***
γ₉	-0.1455	-1.92*

V-Lab

Pakistani Rupee Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Pakistani Rupee Analyses