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{name} Model Equation

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Param	Value	t-stat
mwindow	41
αARCH	0.0422	5.49***
βGARCH	0.9148	53.92***
γleverage	-0.0065	-0.63
λ₁tau intercept	0.0002	1.28
λ₂forecast adj.	0.0216	4.12***
λ₃tau persistence	0.9778	180.18***

Parameter	Value	t-statistic
m window Rolling window length	41
α ARCH Response to squared shocks	0.0422	5.49***
β GARCH Volatility persistence	0.9148	53.92***
γ leverage Additional response to negative shocks	-0.0065	-0.63
λ₁ tau intercept Baseline long-term coefficient	0.0002	1.28
λ₂ forecast adj. Forecast performance sensitivity	0.0216	4.12***
λ₃ tau persistence Long-term factor persistence	0.9778	180.18***

V-Lab

Moroccan Dirham MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Moroccan Dirham Analyses