V-Lab: Moroccan Dirham MF2-GARCH Volatility Analysis

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Moroccan Dirham MF2-GARCH Volatility Analysis

Volatility Prediction for Wednesday, October 4th, 2023:1.11% (-1.79%)

Analysis last updated: Tuesday, October 3, 2023 at 07:12 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	21
$α$	0.7500	7499900.00
$β$	0.0000	100.00
$γ$	0.5000	5000000.00
$λ_{1}$	0.0788	787530.00
$λ_{2}$	0.0210	210440.00
$λ_{3}$	0.4184	4184360.00

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts