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

V-Lab

Pakistani Rupee Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, May 12th, 2025:4.60% (-0.08%)

Analysis last updated: Friday, May 9, 2025 at 07:11 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6356	4.23
$α$	0.2263	9.04
$β$	0.7353	32.31
$γ_{1}$	-0.1397	-2.08
$γ_{2}$	-0.0073	-0.06
$γ_{3}$	0.3985	4.17
$γ_{4}$	-0.4181	-4.20
$γ_{5}$	0.2171	2.13
$γ_{6}$	-0.0931	-1.18
$γ_{7}$	0.2518	3.77
$γ_{8}$	-0.4665	-5.95
$γ_{9}$	0.3812	4.29
$γ_{10}$	-0.1544	-2.77

Estimation Period:
Dec 31, 1999 to May 9, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts