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 Monday, December 23rd, 2024:6.61% (+0.63%)

Analysis last updated: Friday, December 20, 2024 at 07:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6077	4.82
$α$	0.2324	8.54
$β$	0.7160	27.68
$γ_{1}$	-0.1415	-2.13
$γ_{2}$	-0.0095	-0.08
$γ_{3}$	0.4107	4.30
$γ_{4}$	-0.4344	-4.48
$γ_{5}$	0.2445	2.65
$γ_{6}$	-0.1605	-2.39
$γ_{7}$	0.3562	6.04
$γ_{8}$	-0.5438	-7.28
$γ_{9}$	0.4075	5.22
$γ_{10}$	-0.1666	-3.58

Estimation Period:
Dec 31, 1999 to Dec 20, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts