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, April 22nd, 2024:9.21% (+0.23%)

Analysis last updated: Friday, April 19, 2024 at 07:16 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6048	5.34
$α$	0.2364	7.53
$β$	0.6934	22.50
$γ_{1}$	-0.1249	-1.84
$γ_{2}$	-0.0443	-0.38
$γ_{3}$	0.4435	4.52
$γ_{4}$	-0.4556	-4.80
$γ_{5}$	0.2729	3.44
$γ_{6}$	-0.2496	-4.35
$γ_{7}$	0.5007	7.22
$γ_{8}$	-0.6480	-7.25
$γ_{9}$	0.4672	6.15
$γ_{10}$	-0.2339	-5.40

Estimation Period:
Dec 31, 1999 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts