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 Friday, December 1st, 2023:16.06% (-1.38%)

Analysis last updated: Thursday, November 30, 2023 at 07:05 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.5974	4.68
$α$	0.2328	7.40
$β$	0.7117	24.62
$γ_{1}$	-0.1266	-1.60
$γ_{2}$	-0.0584	-0.43
$γ_{3}$	0.4635	4.28
$γ_{4}$	-0.4508	-4.49
$γ_{5}$	0.2629	3.38
$γ_{6}$	-0.2712	-4.35
$γ_{7}$	0.5425	5.91
$γ_{8}$	-0.6479	-5.78
$γ_{9}$	0.4178	5.00
$γ_{10}$	-0.1942	-3.77

Estimation Period:
Dec 31, 1999 to Nov 24, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts