V-Lab: Moroccan Dirham APARCH Volatility Analysis

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V-Lab

Moroccan Dirham APARCH Volatility Analysis

Volatility Prediction for Monday, January 30th, 2023:7.77% (+0.03%)

Analysis last updated: Friday, January 27, 2023, 07:11 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0002	8.71
$α$	0.0253	21.05
$β$	0.9706	928.76
$γ$	-0.0007	-0.05
$δ$	2.2357	35.78

Estimation Period:
Jan 3, 1990 to Jan 27, 2023

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts