V-Lab: Pakistani Rupee Spline-GARCH Volatility Analysis

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V-Lab

Pakistani Rupee Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, January 15th, 2025:5.29% (+1.08%)

Analysis last updated: Tuesday, January 14, 2025 at 07:08 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6185	6.18
$α$	0.2297	7.68
$β$	0.6774	20.16
$γ_{1}$	-0.1179	-2.15
$γ_{2}$	-0.0322	-0.34
$γ_{3}$	0.4163	5.04
$γ_{4}$	-0.4562	-5.33
$γ_{5}$	0.2767	3.30
$γ_{6}$	-0.1919	-3.07
$γ_{7}$	0.3858	7.51
$γ_{8}$	-0.5954	-9.59
$γ_{9}$	0.5780	7.79
$γ_{10}$	-0.7133	-6.88

Estimation Period:
Dec 31, 1999 to Jan 10, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts