V-Lab: Moroccan Dirham GJR-GARCH Volatility Analysis

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V-Lab

Moroccan Dirham GJR-GARCH Volatility Analysis

Volatility Prediction for Wednesday, October 4th, 2023:9.23% (+0.03%)

Analysis last updated: Tuesday, October 3, 2023 at 07:11 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0003	8.32
$α$	0.0277	14.41
$β$	0.9724	950.52
$γ$	-0.0003	-0.11

Estimation Period:
Jan 3, 1990 to Sep 29, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts