V-Lab: Pakistani Rupee Spline-GARCH Volatility Analysis

V-Lab

|

V-Lab

Pakistani Rupee Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, January 30th, 2023:41.55% (+25.00%)

Analysis last updated: Friday, January 27, 2023, 07:09 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6497	5.89
$α$	0.2292	7.80
$β$	0.6923	21.61
$γ_{1}$	-0.1372	-2.66
$γ_{2}$	0.0108	0.12
$γ_{3}$	0.3678	4.74
$γ_{4}$	-0.4121	-4.94
$γ_{5}$	0.2253	2.47
$γ_{6}$	-0.0859	-1.12
$γ_{7}$	0.2243	3.49
$γ_{8}$	-0.4831	-7.49
$γ_{9}$	0.6827	6.87

Estimation Period:
Dec 31, 1999 to Jan 27, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts