V-Lab: Moroccan Dirham Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Moroccan Dirham Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:7.53% (-0.11%)

Analysis last updated: Friday, April 26, 2024 at 07:35 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.5528	3.04
$α$	0.0351	5.79
$β$	0.9423	97.81
$γ_{1}$	-0.0666	-1.17
$γ_{2}$	0.1355	1.70
$γ_{3}$	-0.1079	-2.48
$γ_{4}$	0.0440	1.27
$γ_{5}$	0.0282	1.05
$γ_{6}$	-0.1030	-4.43
$γ_{7}$	0.1283	5.39
$γ_{8}$	-0.0882	-3.34
$γ_{9}$	0.0791	2.88
$γ_{10}$	-0.0822	-4.15

Estimation Period:
Jan 3, 1990 to Apr 26, 2024

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Volatility Forecasts

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