V-Lab: Pakistani Rupee Zero Slope Spline-GARCH Volatility Analysis

V-Lab

Pakistani Rupee Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, July 1st, 2025:4.40% (-0.12%)

Analysis last updated: Monday, June 30, 2025 at 07:11 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6654	3.70
$α$	0.2243	9.31
$β$	0.7454	35.20
$γ_{1}$	-0.1429	-2.08
$γ_{2}$	-0.0019	-0.02
$γ_{3}$	0.3923	4.02
$γ_{4}$	-0.4092	-3.99
$γ_{5}$	0.2032	1.89
$γ_{6}$	-0.0649	-0.77
$γ_{7}$	0.2115	2.95
$γ_{8}$	-0.4387	-5.30
$γ_{9}$	0.3737	3.84
$γ_{10}$	-0.1507	-2.40

Estimation Period:
Dec 31, 1999 to Jun 27, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts