V-Lab: Pakistani Rupee Spline-GARCH Volatility Analysis

V-Lab

Pakistani Rupee Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, July 2nd, 2025:1.99% (-0.11%)

Analysis last updated: Tuesday, July 1, 2025 at 07:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6117	5.66
$α$	0.2313	8.61
$β$	0.6985	24.50
$γ_{1}$	-0.1347	-2.44
$γ_{2}$	0.0001	0.00
$γ_{3}$	0.3834	4.67
$γ_{4}$	-0.4233	-4.86
$γ_{5}$	0.2341	2.53
$γ_{6}$	-0.1031	-1.38
$γ_{7}$	0.2489	4.01
$γ_{8}$	-0.4745	-7.14
$γ_{9}$	0.4930	6.04
$γ_{10}$	-0.6329	-5.06

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts