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

V-Lab

Pakistani Rupee Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, September 1st, 2025:8.65% (-0.93%)

Analysis last updated: Friday, August 29, 2025 at 07:11 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7009	3.28
$α$	0.2207	9.53
$β$	0.7547	38.04
$γ_{1}$	-0.1431	-2.06
$γ_{2}$	0.0007	0.01
$γ_{3}$	0.3849	3.91
$γ_{4}$	-0.3986	-3.81
$γ_{5}$	0.1865	1.66
$γ_{6}$	-0.0306	-0.34
$γ_{7}$	0.1618	2.10
$γ_{8}$	-0.4037	-4.65
$γ_{9}$	0.3687	3.46
$γ_{10}$	-0.1556	-2.20

Estimation Period:
Dec 31, 1999 to Aug 29, 2025

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts