V-Lab: Pakistani Rupee Spline-GARCH Volatility Analysis

V-Lab

Pakistani Rupee Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 20th, 2025:2.57% (+0.14%)

Analysis last updated: Monday, May 19, 2025 at 07:09 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6092	5.85
$α$	0.2302	8.30
$β$	0.6923	22.97
$γ_{1}$	-0.1306	-2.38
$γ_{2}$	-0.0080	-0.08
$γ_{3}$	0.3925	4.79
$γ_{4}$	-0.4333	-5.01
$γ_{5}$	0.2474	2.76
$γ_{6}$	-0.1299	-1.83
$γ_{7}$	0.2894	4.95
$γ_{8}$	-0.5085	-7.91
$γ_{9}$	0.5103	6.43
$γ_{10}$	-0.6233	-4.93

Estimation Period:
Dec 31, 1999 to May 16, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts