Forecasting Exchange Rate of Pakistan Using Time Series Analysis

Table 9

Estimation GARCH model for USD/PKR series.

Variable	Coefficient	Std. Error	Z-statistic	Probability
Mean equation
C	0.010702	0.020673	0.517690	0.6047
AR (1)	−0.649159	0.174864	−3.712370	0.0002
MA (14)	0.510485	0.183957	2.775029	0.0055
Variance equation
E	0.016751	0.000702	23.87087	0.0000
ARCH (1)	0.035492	0.002188	16.22417	0.0000
GARCH (1)	0.936849	0.002323	403.2149	0.0000
R-squared	0.047442		Mean-dependent var	0.035998
Adjusted R-squared	0.045865		SD-dependent var	0.810083
S.E. of regression	0.791288		Akaike information criterion (AIC)	2.093855
Sum squared residual	756.3722		Schwartz criterion	2.119119
Log-likelihood	−1261.829		Durbin–Watson stat	2.103367