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, January 30th, 2023:38.99% (+30.12%)

Analysis last updated: Friday, January 27, 2023, 07:11 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6866	3.69
$α$	0.2275	8.33
$β$	0.7380	30.37
$γ_{1}$	-0.1509	-2.35
$γ_{2}$	0.0151	0.14
$γ_{3}$	0.3774	4.08
$γ_{4}$	-0.4017	-4.08
$γ_{5}$	0.1962	1.85
$γ_{6}$	-0.0406	-0.47
$γ_{7}$	0.1608	2.20
$γ_{8}$	-0.3761	-5.02
$γ_{9}$	0.3014	4.15

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

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