V-Lab: Pakistani Rupee Spline-GARCH Volatility Analysis

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V-Lab

Pakistani Rupee Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, July 29th, 2024:3.17% (-0.06%)

Analysis last updated: Friday, July 26, 2024 at 07:32 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6205	5.76
$α$	0.2356	7.46
$β$	0.6835	21.12
$γ_{1}$	-0.1120	-1.79
$γ_{2}$	-0.0582	-0.54
$γ_{3}$	0.4519	4.93
$γ_{4}$	-0.4780	-5.25
$γ_{5}$	0.2981	3.71
$γ_{6}$	-0.2554	-4.47
$γ_{7}$	0.4953	8.38
$γ_{8}$	-0.6851	-8.82
$γ_{9}$	0.6110	7.63
$γ_{10}$	-0.6546	-7.33

Estimation Period:
Dec 31, 1999 to Jul 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts