V-Lab: Pakistani Rupee Spline-GARCH Volatility Analysis

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V-Lab

Pakistani Rupee Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, April 17th, 2024:6.54% (-0.13%)

Analysis last updated: Tuesday, April 16, 2024 at 07:34 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6141	5.34
$α$	0.2351	7.44
$β$	0.6960	22.55
$γ_{1}$	-0.1113	-1.61
$γ_{2}$	-0.0711	-0.60
$γ_{3}$	0.4707	4.77
$γ_{4}$	-0.4835	-5.08
$γ_{5}$	0.3000	3.80
$γ_{6}$	-0.2781	-4.81
$γ_{7}$	0.5335	7.42
$γ_{8}$	-0.6875	-7.41
$γ_{9}$	0.5319	6.31
$γ_{10}$	-0.3872	-4.75

Estimation Period:
Dec 31, 1999 to Apr 12, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts