V-Lab
Pakistani Rupee Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Wednesday, September 30th, 2026
1 Day
3.93%
decreased by 0.23%
1 Week
4.29%
increased by 0.13%
1 Month
5.43%
increased by 1.27%
Analysis last updated: Tuesday, September 29, 2026 at 08:12 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Dec 31, 1999 to Sep 25, 2026Model Insight
With persistence 0.993, volatility shocks have a half-life of 98 trading days (~0.4 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
τ
Zero Slope Spline-GARCH Model
Tap to view equation
High persistence: persistence 0.993, shock half-life ~98 days
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.7988 | 1.49 |
| αARCH | 0.1963 | 9.74*** |
| βGARCH | 0.7966 | 48.75*** |
Spline Coefficients
K=8
| γ1 | -0.2525 | -7.64*** |
| γ2 | 0.3201 | 5.34*** |
| γ3 | -0.0287 | -0.42 |
| γ4 | -0.1478 | -2.30** |
| γ5 | 0.2937 | 4.72*** |
| γ6 | -0.3282 | -3.99*** |
| γ7 | 0.1757 | 2.35** |
| γ8 | -0.0297 | -0.77 |
0.993
Persistence98d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.7988 | 1.49 |
α ARCH Response to squared shocks | 0.1963 | 9.74*** |
β GARCH Volatility persistence | 0.7966 | 48.75*** |
Spline Coefficients
K=8
| γ1 | -0.2525 | -7.64*** |
| γ2 | 0.3201 | 5.34*** |
| γ3 | -0.0287 | -0.42 |
| γ4 | -0.1478 | -2.30** |
| γ5 | 0.2937 | 4.72*** |
| γ6 | -0.3282 | -3.99*** |
| γ7 | 0.1757 | 2.35** |
| γ8 | -0.0297 | -0.77 |
Persistence:
0.993
Half-life:
98 days
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