V-Lab: Moroccan Dirham Spline-GARCH Volatility Analysis

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V-Lab

Moroccan Dirham Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:7.59% (-0.12%)

Analysis last updated: Friday, April 26, 2024 at 07:33 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.4619	2.81
$α$	0.0351	5.83
$β$	0.9424	99.70
$γ_{1}$	-0.0866	-1.47
$γ_{2}$	0.1686	2.08
$γ_{3}$	-0.1302	-3.01
$γ_{4}$	0.0568	1.65
$γ_{5}$	0.0266	0.99
$γ_{6}$	-0.1096	-4.74
$γ_{7}$	0.1371	5.74
$γ_{8}$	-0.0954	-3.48
$γ_{9}$	0.0841	2.63
$γ_{10}$	-0.0836	-2.16

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

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Volatility Forecasts

Volatility Forecasts