V-Lab
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 ·

All

graph of Pakistani Rupee S0GARCH
paramt-stat
ω0.68663.69
α0.22758.33
β0.738030.37
γ1-0.1509-2.35
γ20.01510.14
γ30.37744.08
γ4-0.4017-4.08
γ50.19621.85
γ6-0.0406-0.47
γ70.16082.20
γ8-0.3761-5.02
γ90.30144.15
Estimation Period:
Dec 31, 1999 to Jan 27, 2023
Impact of return on volatility tomorrow
Volatility Forecasts