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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9601	1.54
α ARCH Response to squared shocks	0.2018	11.15***
β GARCH Volatility persistence	0.7924	50.04***

γ₁	-0.2400	-5.69***
γ₂	0.2367	3.02***
γ₃	0.1098	1.48
γ₄	-0.1865	-3.46***
γ₅	0.0745	1.25
γ₆	0.1642	2.45**
γ₇	-0.3730	-4.53***
γ₈	0.3296	3.10***
γ₉	-0.1417	-1.93*

V-Lab

Pakistani Rupee Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Pakistani Rupee Analyses