V-Lab: Moroccan Dirham Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Moroccan Dirham Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, June 2nd, 2023:7.94% (-0.01%)

Analysis last updated: Thursday, June 1, 2023 at 07:11 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.5239	2.89
$α$	0.0344	5.85
$β$	0.9455	105.82
$γ_{1}$	-0.0822	-1.30
$γ_{2}$	0.1586	1.80
$γ_{3}$	-0.1134	-2.33
$γ_{4}$	0.0322	0.86
$γ_{5}$	0.0500	1.72
$γ_{6}$	-0.1185	-4.25
$γ_{7}$	0.1223	3.89
$γ_{8}$	-0.0677	-1.84
$γ_{9}$	0.0573	1.61
$γ_{10}$	-0.0641	-2.63

Estimation Period:
Jan 3, 1990 to May 27, 2023

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Volatility Forecasts

Volatility Forecasts