V-Lab
Pakistani Rupee Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Tuesday, September 8th, 2026
1 Day
3.91%
decreased by 0.23%
1 Week
4.27%
increased by 0.13%
1 Month
5.45%
increased by 1.31%
Analysis last updated: Monday, September 7, 2026 at 07:10 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Dec 31, 1999 to Sep 4, 2026Model Insight
With persistence 0.995, volatility shocks have a half-life of 152 trading days (~0.6 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
τ
Zero Slope Spline-GARCH Model
Tap to view equation
High persistence: persistence 0.995, shock half-life ~152 days
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.9570 | 1.51 |
| αARCH | 0.1970 | 10.93*** |
| βGARCH | 0.7984 | 49.87*** |
Spline Coefficients
K=8
| γ1 | -0.2538 | -7.40*** |
| γ2 | 0.3186 | 5.17*** |
| γ3 | -0.0215 | -0.31 |
| γ4 | -0.1566 | -2.37** |
| γ5 | 0.3020 | 4.62*** |
| γ6 | -0.3324 | -3.86*** |
| γ7 | 0.1744 | 2.29** |
| γ8 | -0.0273 | -0.71 |
0.995
Persistence152d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.9570 | 1.51 |
α ARCH Response to squared shocks | 0.1970 | 10.93*** |
β GARCH Volatility persistence | 0.7984 | 49.87*** |
Spline Coefficients
K=8
| γ1 | -0.2538 | -7.40*** |
| γ2 | 0.3186 | 5.17*** |
| γ3 | -0.0215 | -0.31 |
| γ4 | -0.1566 | -2.37** |
| γ5 | 0.3020 | 4.62*** |
| γ6 | -0.3324 | -3.86*** |
| γ7 | 0.1744 | 2.29** |
| γ8 | -0.0273 | -0.71 |
Persistence:
0.995
Half-life:
152 days
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