V-Lab: Moroccan Dirham GJR-GARCH Volatility Analysis

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V-Lab

Moroccan Dirham GJR-GARCH Volatility Analysis

Volatility Prediction for Wednesday, April 24th, 2024:7.38% (-0.10%)

Analysis last updated: Tuesday, April 23, 2024 at 07:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0003	8.59
$α$	0.0280	14.45
$β$	0.9718	937.12
$γ$	0.0001	0.03

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

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Volatility Forecasts