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 Tuesday, April 23rd, 2024:7.97% (-0.13%)

Analysis last updated: Monday, April 22, 2024 at 07:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.5501	3.04
$α$	0.0351	5.79
$β$	0.9423	97.74
$γ_{1}$	-0.0669	-1.17
$γ_{2}$	0.1357	1.71
$γ_{3}$	-0.1076	-2.47
$γ_{4}$	0.0435	1.25
$γ_{5}$	0.0286	1.07
$γ_{6}$	-0.1034	-4.45
$γ_{7}$	0.1287	5.41
$γ_{8}$	-0.0888	-3.36
$γ_{9}$	0.0804	2.92
$γ_{10}$	-0.0838	-4.21

Estimation Period:
Jan 3, 1990 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts