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, April 19th, 2024:8.11% (0.00%)

Analysis last updated: Thursday, April 18, 2024 at 07:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.5708	3.10
$α$	0.0354	5.80
$β$	0.9419	97.00
$γ_{1}$	-0.0657	-1.16
$γ_{2}$	0.1344	1.70
$γ_{3}$	-0.1072	-2.47
$γ_{4}$	0.0430	1.24
$γ_{5}$	0.0294	1.10
$γ_{6}$	-0.1042	-4.49
$γ_{7}$	0.1290	5.41
$γ_{8}$	-0.0887	-3.34
$γ_{9}$	0.0805	2.91
$γ_{10}$	-0.0838	-4.20

Estimation Period:
Jan 3, 1990 to Apr 12, 2024

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Volatility Forecasts

Volatility Forecasts