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, July 29th, 2024:7.32% (-0.03%)

Analysis last updated: Friday, July 26, 2024 at 07:33 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6097	5.31
$α$	0.2379	7.91
$β$	0.6955	23.53
$γ_{1}$	-0.1295	-1.96
$γ_{2}$	-0.0324	-0.28
$γ_{3}$	0.4314	4.50
$γ_{4}$	-0.4502	-4.75
$γ_{5}$	0.2661	3.20
$γ_{6}$	-0.2209	-3.76
$γ_{7}$	0.4527	7.37
$γ_{8}$	-0.6140	-7.63
$γ_{9}$	0.4444	5.97
$γ_{10}$	-0.2045	-4.79

Estimation Period:
Dec 31, 1999 to Jul 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts