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

V-Lab

Moroccan Dirham Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, August 6th, 2025:6.72% (-0.04%)

Analysis last updated: Tuesday, August 5, 2025 at 07:11 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.6040	3.07
$α$	0.0342	6.19
$β$	0.9467	115.83
$γ_{1}$	-0.0601	-1.14
$γ_{2}$	0.1253	1.69
$γ_{3}$	-0.1071	-2.60
$γ_{4}$	0.0587	1.70
$γ_{5}$	-0.0041	-0.14
$γ_{6}$	-0.0638	-2.49
$γ_{7}$	0.1007	3.85
$γ_{8}$	-0.0650	-2.58
$γ_{9}$	0.0395	1.62
$γ_{10}$	-0.0443	-2.56

Estimation Period:
Jan 3, 1990 to Aug 1, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts