V-Lab: Moroccan Dirham GJR-GARCH Volatility Analysis

V-Lab

Moroccan Dirham GJR-GARCH Volatility Analysis

Volatility Prediction for Wednesday, July 30th, 2025:5.45% (+0.54%)

Analysis last updated: Tuesday, July 29, 2025 at 07:09 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0003	8.90
$α$	0.0281	14.79
$β$	0.9725	979.31
$γ$	-0.0017	-0.56

Estimation Period:
Jan 3, 1990 to Jul 25, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts