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 Friday, June 2nd, 2023:13.51% (+2.42%)

Analysis last updated: Thursday, June 1, 2023 at 07:06 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6615	3.44
$α$	0.2325	7.90
$β$	0.7356	29.80
$γ_{1}$	-0.1318	-1.35
$γ_{2}$	-0.0691	-0.42
$γ_{3}$	0.4704	3.79
$γ_{4}$	-0.4079	-3.74
$γ_{5}$	0.1996	2.55
$γ_{6}$	-0.2190	-2.89
$γ_{7}$	0.4584	3.94
$γ_{8}$	-0.4540	-3.44
$γ_{9}$	0.1132	1.20
$γ_{10}$	0.0656	0.92

Estimation Period:
Dec 31, 1999 to May 27, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts