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Param	Value	t-stat
ωconst	0.8394	1.46
αARCH	0.2049	10.03***
βGARCH	0.7887	46.48***

γ₁	-0.2574	-7.78***
γ₂	0.3273	5.45***
γ₃	-0.0313	-0.46
γ₄	-0.1504	-2.35**
γ₅	0.3024	4.78***
γ₆	-0.3406	-4.08***
γ₇	0.2106	2.75***
γ₈	-0.1749	-2.52**

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8394	1.46
α ARCH Response to squared shocks	0.2049	10.03***
β GARCH Volatility persistence	0.7887	46.48***

γ₁	-0.2574	-7.78***
γ₂	0.3273	5.45***
γ₃	-0.0313	-0.46
γ₄	-0.1504	-2.35**
γ₅	0.3024	4.78***
γ₆	-0.3406	-4.08***
γ₇	0.2106	2.75***
γ₈	-0.1749	-2.52**

V-Lab

Pakistani Rupee Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Pakistani Rupee Analyses