Pakistani Rupee Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Friday, November 13th, 2026
1 Day
4.91%
decreased by 0.38%
1 Week
5.18%
decreased by 0.11%
1 Month
6.12%
increased by 0.83%
Analysis last updated: Thursday, November 12, 2026 at 07:22 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Dec 31, 1999 to Nov 6, 2026Model Insight
With persistence 0.995, volatility shocks have a half-life of 126 trading days (~0.5 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
τ
Zero Slope Spline-GARCH Model
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High persistence: persistence 0.995, shock half-life ~126 days
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.8918 | 1.46 |
| αARCH | 0.1981 | 10.50*** |
| βGARCH | 0.7964 | 49.45*** |
Spline Coefficients
K=8
| γ1 | -0.2530 | -7.60*** |
| γ2 | 0.3225 | 5.39*** |
| γ3 | -0.0336 | -0.49 |
| γ4 | -0.1406 | -2.19** |
| γ5 | 0.2864 | 4.74*** |
| γ6 | -0.3265 | -4.07*** |
| γ7 | 0.1799 | 2.38** |
| γ8 | -0.0330 | -0.82 |
0.995
Persistence126d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.8918 | 1.46 |
α ARCH Response to squared shocks | 0.1981 | 10.50*** |
β GARCH Volatility persistence | 0.7964 | 49.45*** |
Spline Coefficients
K=8
| γ1 | -0.2530 | -7.60*** |
| γ2 | 0.3225 | 5.39*** |
| γ3 | -0.0336 | -0.49 |
| γ4 | -0.1406 | -2.19** |
| γ5 | 0.2864 | 4.74*** |
| γ6 | -0.3265 | -4.07*** |
| γ7 | 0.1799 | 2.38** |
| γ8 | -0.0330 | -0.82 |
Persistence:
0.995
Half-life:
126 days
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