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{name} Model Equation

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Param	Value	t-stat
mwindow	41
αARCH	0.0412	5.33***
βGARCH	0.9152	53.59***
γleverage	-0.0052	-0.51
λ₁tau intercept	0.0002	1.25
λ₂forecast adj.	0.0215	4.14***
λ₃tau persistence	0.9780	181.88***

Parameter	Value	t-statistic
m window Rolling window length	41
α ARCH Response to squared shocks	0.0412	5.33***
β GARCH Volatility persistence	0.9152	53.59***
γ leverage Additional response to negative shocks	-0.0052	-0.51
λ₁ tau intercept Baseline long-term coefficient	0.0002	1.25
λ₂ forecast adj. Forecast performance sensitivity	0.0215	4.14***
λ₃ tau persistence Long-term factor persistence	0.9780	181.88***

V-Lab

Moroccan Dirham MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Moroccan Dirham Analyses