V-Lab: Pakistani Rupee Spline-GARCH Volatility Analysis

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V-Lab

Pakistani Rupee Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, October 5th, 2023:23.88% (+6.85%)

Analysis last updated: Wednesday, October 4, 2023 at 07:08 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6186	4.65
$α$	0.2315	7.52
$β$	0.7162	25.44
$γ_{1}$	-0.1126	-1.35
$γ_{2}$	-0.0883	-0.63
$γ_{3}$	0.4909	4.41
$γ_{4}$	-0.4669	-4.59
$γ_{5}$	0.2701	3.55
$γ_{6}$	-0.2717	-4.28
$γ_{7}$	0.5145	5.39
$γ_{8}$	-0.5519	-4.77
$γ_{9}$	0.2160	2.38
$γ_{10}$	0.2013	1.83

Estimation Period:
Dec 31, 1999 to Sep 29, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts