V-Lab
Moroccan Dirham AGARCH Volatility Analysis
Volatility prediction for Monday, September 21st, 2026
1 Day
6.58%
increased by 0.40%
1 Week
6.58%
increased by 0.40%
1 Month
6.61%
increased by 0.43%
Analysis last updated: Friday, September 18, 2026 at 08:02 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 3, 1990 to Sep 18, 2026Model Insight
With persistence 1.000, volatility shocks have a half-life of 2094 trading days (~8.3 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
σ
AGARCH Model
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High persistence: persistence 1.000, shock half-life ~2094 days
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0002 | 1.64 |
| αARCH | 0.0267 | 7.34*** |
| βGARCH | 0.9730 | 257.00*** |
| γleverage | -0.0343 | -0.81 |
1.000
Persistence2094d
Half-lifeσ
AGARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0002 | 1.64 |
α ARCH Response to squared shocks | 0.0267 | 7.34*** |
β GARCH Volatility persistence | 0.9730 | 257.00*** |
γ leverage Additional response to negative shocks | -0.0343 | -0.81 |
Persistence:
1.000
Half-life:
2094 days
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